Mr McGuigan was shot dead last month and police said they believed members of the Provisional IRA were involved.
Bobby Storey, Eddie Copeland, Brian Gillen had been arrested in Belfast on Wednesday. The unnamed woman, who is 50, was detained on Thursday.
Mr Storey, a former IRA prisoner, is the northern chairman of Sinn Féin.
In a tweet, Mr Storey's lawyer John Finucane said: "After two days in Antrim, my client Bobby Storey has been freed. No evidence was put at any stage and my client will be suing for unlawful arrest."
The Police Service of Northern Ireland's Chief Constable George Hamilton said last month that detectives believe Provisional IRA members had a role in Mr McGuigan Sr's murder.
But he added there was no evidence at that stage that the killing had been sanctioned at a senior level of the organisation.
Sinn Féin said the IRA no longer exists after it ordered an end to its armed campaign in 2005.
A total of 17 people have been arrested in connection with Mr McGuigan Sr's murder.
Four people arrested following the murder of former IRA man Kevin McGuigan Sr, including three senior republicans, have all been released unconditionally.