Ambassador Chris Stevens, left, was killed during the assault on the U.S. consulate in Benghazi, Libya, captured right. Reuters

Arrests have been made in connection with the attack on the U.S. consulate in Benghazi, Libya, which left four people, including U.S. Ambassador Chris Stevens, dead, according to a report from Libya’s state-controlled news agency.

Libya’s Deputy Minister of Interior Wanis Al-Sharif also said in a statement that "the investigation is ongoing and will reveal either whether those individuals are involved [in the killings] or innocent."

Reuters quoted Sharif as saying “four men are in custody, and we are interrogating them, because they are suspected of helping instigate the events at the U.S. consulate."

Sharif provided no further details.

"We have made a big advance [in the investigation]," Libya's Prime Minister Mustafa Abu Shagur told the Agence France Presse news agency. "We have some names and some photographs. Arrests have been made and more are under way as we speak."