Three men, aged 26, 40 and 59, and a 29-year-old woman, were arrested in Birmingham on Thursday night.
A fourth man, 26, was arrested at Gatwick Airport in the early hours of Friday. All five are from Birmingham.
Whitehall officials described the arrests as “significant”.
Police say they worked with MI5 and Belgian and French authorities in an operation “to address any associated threat to the UK following the attacks in Europe”.
They said there was no risk to the public at any time and they had no information to suggest an attack in the UK was being planned.
Police said all those arrested are being held in the West Midlands on suspicion of being concerned in the commission, preparation or instigation of acts of terrorism.
Officers are also searching a number of properties in Birmingham.
Assistant Chief Constable Marcus Beale, who leads on counter-terrorism for the force, said the operation was part of an “extensive investigation”, and the arrests were “pre-planned and intelligence-led”.
The BBC’s security correspondent Frank Gardner said Whitehall officials described the operation as “significant”.
These were the first arrests in the UK directly connected with the investigation into the attacks in Brussels in March and Paris last November, he said.
The primary co-operation was between West Midlands Police and MI5, with input from the French and Belgian authorities, officials told our correspondent.