Kasai Gov. Alexis Nkande Myopompa said investigations were underway.
Large-scale violence erupted in the Kasai region in August when security forces killed the militia's leader.
More than 400 people have been killed and more than 200,000 displaced since then, according to the U.N.
The UN In recent days reported the discovery since January of more than two dozen mass graves in three Kasai provinces. And five videos have emerged in recent weeks that appear to show Congolese soldiers firing on militia members.
While the violence is linked to local power struggles, there are also clear ties to Congo's political crisis, according to Human Rights Watch.
Anger has been growing in the country at long-delayed presidential elections, and dozens were killed in December amid protests as President Joseph Kabila stayed on past the end of his mandate.
A deal reached between the ruling party and opposition to hold elections by the end of this year, without Kabila, remains fragile as the UN Urges its implementation.
Security forces have been known to back local leaders seen as loyal to Kabila, while militia groups support those who are believed to support the opposition, the rights group said.
Militia members have recruited large numbers of children and used crude weapons to attack security forces and some government buildings in Kasai, Kasai Central, Kasai Oriental, Sankuru, and Lomami provinces, Human Rights Watch said.
The decapitations were announced as the rights group today called on Congo's government to cooperate with UN Efforts to locate experts, including an American and a Swede, who have been missing in the Kasai region for nearly two weeks.
The UN Peacekeeping mission in Congo said its movements have been restricted by security forces in Kananga, the provincial capital of Kasai Central.
Michael Sharp of the US, Zaida Catalan of Sweden, interpreter Betu Tshintela, driver Isaac Kabuayi and two motorbike drivers went missing March 12 near a remote village south of Kananga. They were looking into recent large-scale violence and alleged human rights violations by the Congolese army and local militia groups.
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