The Ethiopians were arrested Sunday night at a check point in Zambia's northern Ndola district, said Bonny Kapeso, deputy commissioner of the provincial police.
Aged between 20 and 24, the 12 Ethiopians were believed on their way to South Africa, he added.
Zambia has witnessed a surge in illegal immigrants, especially from Ethiopia and Somalia.
Last month, a court in northern Zambia jailed 26 Ethiopians for one year with hard labor for illegal entry. A total of 141 Ethiopians were arrested in September for the same offense.