The militants occupied the area Thursday night, Xinhua reported, quoting Gulab Shah Alikhail, a spokesman for the provincial governor in Zabul's capital Qalat. It gave no other details.
Separately, China's People's Daily reported Taliban militants in another incident killed five guards at a construction camp in the same Zabul province. Four others were injured in the incident. The reason for the Taliban attack was not clear.
The rising Taliban-linked insurgency in Afghanistan has claimed more than 600 lives this year, the People's Daily reported.
There was no confirmation yet from the NATO-led International Security Assistance Force about the capture of Khak.
The sparsely populated Zabul, near the border with Pakistan, is seen as a fertile ground for the current insurgency.