A UN spokesman said seven other peacekeepers were injured by the blast in Mabok, south-east of Abyei town, which was occupied by northern forces.
UN Secretary General Ban Ki-moon was "saddened" by the deaths, he added.
The deaths come less than a week after the 4,200-strong Ethiopian peacekeeping force arrived in Abyei, claimed by the governments of Sudan and South Sudan.
UN spokesman Martin Nesirky said Mr Ban had expressed his condolences to the Ethiopian government, and the family and friends of those killed.
The injured have been airlifted to Kadugli, in the Sudanese state of South Kordofan.
The village where the landmine exploded had been occupied by troops loyal to the government in Khartoum, which has signed the Ottawa Treaty banning the use of anti-personnel mines.
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