The children, who spoke no Italian, were found by Italian police during an inspection of the city's railway stations and and are now being kept at a holding centre.
Newspaper reports said they appeared to be between 14 to 16 years in age.
"We want to understand how a thing like this could happen in our city," Rome Mayor Gianni Alemanno said after learning of the incident from the papers.
The number of Afghan children in Rome has grown sharply, making them one of the biggest groups of unaccompanied minors in the city, the Save the Children agency said.
