The incident came as the Zambia team were leaving Johannesburg's Soccer City on Wednesday, after their 1-0 win over 2010 World Cup hosts South Africa in a friendly international.
Two teenage boys were taken into custody and face a charge of malicious damage to property, police said. Two others are still being sought.
Bus windows were smashed, sending shards of glass onto the players, Zambian officials added.
The incident comes as an embarrassment to South African officials who conducted major security checks at the venue as part of preparations for the African Cup of Nations, which the country hosts from January 19 to February 10.