Duterte, 72, won elections last year on a promise to kill tens of thousands of criminals to prevent the Philippines from becoming a narco-state.
Since then police have said at least 3,200 people were killed during their anti-drug operations.
Thousands more people, some of them described by the authorities as drug users, have been killed by unknown attackers.
Rights groups have warned that Duterte and the police may be overseeing a crime against humanity.
The EU lawmakers expressed their concern following a visit to the Philippines this week.
"The delegation in frank and constructive discussions expressed its concern about the high number of extrajudicial killings in the context of the war against drugs and the possible extension of martial law," an EU statement said on Friday.
Duterte declared a 60-day martial law on May 23 over the Mindanao region to crush pro-Islamic State militants who occupied the southern city of Marawi.
He has since called on Congress to allow him to extend martial law there till the end of the year.
The EU delegation also expressed "strong concern" over efforts to restore the death penalty and lower the age of criminal responsibility to nine.
The four MPs from Sweden, Hungary, Austria and Denmark also visited Senator Leila de Lima, a jailed critic of Duterte and met with various cabinet members and human rights groups.
Duterte's bloody anti-drug campaign was also the subject of a hearing by the US Congress' Human Rights Commission in Washington, where various human rights groups on Thursday criticised the rash of killings.
Misa Concepcion, communications manager of iDefend, one of the groups that testified at the hearing, said they told the US lawmakers that about 7,000 people had been killed by police and vigilantes under Duterte.
"We have the basis to claim that what is actually happening is tantamount to crimes against humanity," she told AFP.
Duterte's spokesman Ernesto Abella said Friday the US and EU should get both sides of the story.
He also cited widespread popular support for Duterte and his anti-drug campaign, saying "the real judge of the situation would be the people who have given him (Duterte) overwhelming support and overwhelming approval".
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