The three New Zealand soldiers killed by a massive roadside bomb in Afghanistan include the first New Zealand woman killed in the war.

Corporal Luke Tamatea, 31, Lance Corporal Jacinda Baker, 26, and Private Richard Harris, 21, were killed in the northeast of Bamyan province about 9.20am on Sunday (local time), the New Zealand Defence Force (NZDF) said on Monday.

The Humvee which was the last vehicle in a convoy was hit by the roadside bomb, northwest of Do Abe, on the road to Romero.

New Zealand Prime Minister John Key said the soldiers would have died instantly.

It was the deadliest day for New Zealand soldiers in Afghanistan - 10 have now been killed there since the first Provincial Reconstruction Team went there in 2003.

Taliban spokesman Zabiullah Mujahid claimed responsibility for the attack in a statement, AP reported.

The deaths come just two weeks after Lance Corporals Pralli Durrer and Rory Malone were shot by Afghan insurgents near Do Abe.