A 23-year-old sister who drove them to the airport was also detained.
Authorities said they were planning to cross the border into San Diego to hide out with his stepmother.
In a confession made before reporters, the teen, nicknamed "El Ponchis," admitted to chopping off the heads of his victims, saying "I participated in four executions. Cartel leaders made me smoke marijuana before the kills. I had to cut the throats because they would kill me if I didn't do it."
Authorities said the siblings worked for Julio "El Negro" Padilla, who has been fighting for control of the drug trade in Morelos, formerly part of the territory under the Beltran Leyva gang, which broke up with the killing of leader Arturo Beltran Leyva by Mexican marines a year ago.
The siblings' mother was arrested in San Diego on Wednesday. She was charged with entering the U.S. illegally.