On Monday, gunmen at the airport of Galkayo, in central Somalia, had shot the pair as they arrived.
They were working for the United Nations Office on Drugs and Crime and were looking at the flow of money related to Somalia's pirate attacks.
A statement issued by the government of the northern breakaway state of Puntland in Somalia identified the two victims as Briton Simon Davis and Frenchman Clement Gorrissen.
Officials from British High Commission in Nairobi, the French Embassy and UN staff members stood in silence as the caskets, covered with the United Nations flag, were carried off the planes.
UN chief Ban Ki-moon, British Foreign Secretary William Hague and French President Francois Hollande condemned the attack and urged an investigation into the killings.