The statement rejected an al-Shabab claim that several Ethiopian troops were killed.
The ambush was reported as the al-Qaida-linked al-Shabab claimed responsibility for the deadly hotel assault in Nairobi and deadly attacks on forces inside Somalia.
Ethiopia contributes troops to a multinational African Union peacekeeping mission. It also has troops in Somalia independently under Ethiopian army command.
The statement said the ambush occurred when the convoy was traveling Burhakaba to Baidoa in Somalia's southwest.
A separate statement by the AU force said the ambush occurred on Friday and AU troops returned fire, killing four extremists and wounding several others.
Three soldiers with the AU force were wounded, the statement said.
In late October, al-Shabab claimed killing 30 Ethiopian troops inside Somalia. Weeks before that, Ethiopian state media outlets reported that the Ethiopian Air Force killed 70 al-Shabab members after the extremist group tried to attack Ethiopian forces.
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