The attack happened in the north of the country, in the Kidal region.
The deaths of the soldiers, who were all from Chad, brings the number of UN peacekeepers in Mali killed so far this month to ten.
Mali descended into conflict after a coup in 2012, and has faced an insurgency led by Islamist militants.
French troops intervened to halt a subsequent advance by Islamist rebels but separatist violence has flared in recent months, despite the deployment of UN forces.
"We lost five comrades today in the north towards Aguelhok. Their vehicle hit an explosive device. It's terrible," a Chadian officer told AFP news agency.
The UN mission, known as Minusma, said the blast happened between the desert towns of Aguelhok and Tessalit.
"This incident follows many other attacks in the Kidal region in which too many UN peacekeepers have been killed or wounded," the UN mission said in a statement.
The United Nations mission in Mali says five of its peacekeepers have died and another three were wounded by an explosive device.