Fifteen bodies bearing bullet impacts were found on Monday near Linguekoro, a village in the western province of Comoe, regional governor Colonel Jean-Charles Some said in a statement.
They were among 24 people who were aboard two minibuses travelling from Banfora that were stopped in Linguekoro by armed men on Sunday evening, he said.
"The passengers, comprising eight men and 16 women, were told to get off," he said.
"Eight women and one man were released and told to walk to Mangodara," 30 kilometres (18 miles) away, he said.
The two minibuses were then torched and the 15 other passengers taken away.
Separately, 10 military police officers, two members of an auxiliary force supporting the army, and a civilian died in northern Burkina Faso from a "terrorist attack on Monday" in the locality of Falangoutou, the army said.
- Mounting toll -
The attacks mark a further escalation in an insurgency that has beset Burkina, one of the world's poorest and most troubled countries, for more than seven years.
Violence linked to Al-Qaeda and the Islamic State group has killed thousands of people and forced around two million more to flee their homes.
More than a third of the country lies beyond the control of the government.
Since the start of the year, at least 77 people have died, according to a toll compiled by AFP from official statements and security sources.
Also in January, 62 women and four babies were abducted as they foraged for food in Arbinda, in the north of the country.
They were rescued by the army several days later at a location 200 kilometers away, according to the state-run media.
- French pullout -
Frustration within the army at the mounting toll of security forces triggered two coups last year.
The ruling junta has fallen out with France, the country's traditional ally and military supporter, which last week said it would withdraw its troops at the authorities' request.
Around 400 French special forces are based near the capital Ouagadougou in a deployment dubbed Operation Sabre, part of a broader military presence to fight jihadists across the Sahel region.
Thousands of demonstrators rallied in the capital on Saturday to celebrate the pullout, and some called for Burkina Faso to follow Mali in weaving a close alliance with Moscow.
The junta brought in Russian paramilitaries, whom Paris and others describe as mercenaries of Russia's privately-run Wagner operation.
The Wagner group has been associated with abuses or atrocities in Mali and the Central African Republic, where France last year also withdrew its forces in the face of hostility.