The men have been identified as US citizen, Steve Centanni, and New Zealand cameraman, Olaf Wiig.
Their abduction is the latest in a series of kidnappings of foreigners since Israel withdrew from the Gaza strip last year.
A witness says two vehicles intercepted the journalists' transmission truck and a masked man put a gun to a bodyguard's head.
Forcing him to the ground, the kidnappers seized the journalists and then sped away.
The Fox TV team's Palestinian driver and two other journalists were set free.
No militant group has yet claimed responsibility for kidnapping the pair.
"We can confirm that two of our colleagues at Fox News have been kidnapped in the Gaza Strip," Fox said in a statement.
Fox said negotiations were ongoing for their release.
It said the pair had been reported from the region for several weeks.
Mr Centanni has been with Fox since its inception in 1996.
According to the network’s website he has reported on international news and events, including in Iraq, Afghanistan and Pakistan.
Palestinians call for their release
There have been widespread calls for the men’s release from within the Hamas led Palestinian government.
Government spokesman, Ghazi Hamad, has condemned the abduction and called for their "rapid liberation."
The call was reiterated by Nabil Abu Rudeina, spokesman for Palestinian president Mahmud Abbas.
The Palestinian interior ministry said a search was under way for the two journalists.
"We have launched a probe to determine who kidnapped them and we are seeking to find them as quickly as possible," a spokesman said.
Anxious families
The parents of New Zealand cameraman, Olaf Wigg, are waiting anxiously for news of their son from Gaza.
Mr Wiig’s father, the Reverend Roger Wiig, says he heard of his son's kidnapping on the news.
He has been trying to get in touch with the Fox News Channel to find out how negotiations are going.
Olaf Wigg’s wife of eight years, BBC World television and former New Zealand TV and radio presenter Anita McNaught is at their home in London.
Israel strikes Gaza
Israel says it was targeting an Islamic Jihad militant command centre when it hit the Jebaliya refugee camp.
An empty house was destroyed in the attack.
Palestinian officials say the house was vacated after Israeli officials called the residents and told them a strike was imminent.
Despite the warning eight people were wounded.
The ceasefire that has stopped fighting between Israel and Hizbollah in southern Lebanon has no effect in Gaza.
Israel has been waging an offensive in Gaza since Hamas-backed militants captured an Israeli soldier in a June 25 cross border raid.