In the live footage of the arrest, Jimenez can be heard explaining to the officers the four of them are "one team."
"We are getting out of your way. Just let us know. Wherever you want us to go we will go."
The team is surrounded by heavily armed state patrol officers who place the reporter in handcuffs.
"Do you mind telling me why I'm under arrest?" Jimenez says calmly.
An anchor from the studio says "this is an American television reporter … being led away by police officers."
Jimenez is led back behind a line of state patrol officers while the CNN producer steps in to explain "we were just out here reporting."
"I've never seen anything like this" the anchor in the studio says as the camera man is forced to lay down his camera, which is still recording live, and be placed in handcuffs
"If you're just tuning in, this is our camera crew being arrested," the anchor says.
"We don't know why they're being arrested."
"They are allowed to be reporting on the unrest that is happening right now but for some reason the state police have decided they need to be under arrest," she said.
Meanwhile the camera keeps running a live feed back to the studio, despite being placed on the ground by police.
Viewers at home were shocked by the footage, describing it as "extraordinary" and "crazy".
Jimenez had previously tweeted the "images out of Minneapolis right now are unbelievable."
"Thousands in the streets, a police precinct on fire, fireworks being fired into those flames. All while we wait on whether charges will be filed against the officers involved in the death of George Floyd. #GeorgeFloyd"
CNN called for their immediate release and said the arrest was a "clear violation of their First Amendment rights."
"The authorities in Minnesota, including the Governor, must release the 3 CNN employees immediately," the station said.
Minnesota Governor Tim Walz then apologised for what happened and said the arrests were "unacceptable".
Later, after he was released from custody, Jimenez told CNN he spoke with the police officer who led him away and asked why he was being arrested.
"As we were reporting we had been in verbal contact with some of the police officers, saying alright where can we be?" he said.
But the police officer told him: "Look I dunno man, I'm just following orders".
Jimenez said there was "no animosity" between the crew and the police officers, who were not violent.
"We were having conversation about just how crazy this week has been for every single part of the city," he said.
Asked whether he was frightened during the ordeal, Jimenez said: "It did cross my mind: what is really happening here?"
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But the fact the arrest was playing out live on television was comforting, he added.
"You can have people speak up for you, without saying anything," he said. "The country was seeing what was happening in real time ... You don't have to doubt my story, it's not filtered in any way."
On Twitter, the Minnesota State Patrol said the CNN crew was arrested "in the course of clearing the streets and restoring order".
They were then released "once they were confirmed to be members of the media", it added.
POLICE OFFICER ARRESTED AND CHARGED WITH MURDER
Derek Chauvin, the Minneapolis officer who was seen on video kneeling on Floyd's neck has been arrested and charged with murder.
Hennepin County Attorney Mike Freeman says Derek Chauvin was charged with third-degree murder and manslaughter, after his office gathered enough evidence to prove the charges beyond a reasonable doubt.
He did not have immediate details, but said a criminal complaint would be made available later. The charges come after three days of protests, which had been escalating in violence.
POLICE DEPARTMENT SET ALIGHT
The shock footage came after a third night of protests in Minneapolis, in the US state of Minnesota, after the death of a black man George Floyd on Monday who was pinned to the ground by a white police officer who knelt on his neck for more than 10 minutes.
Mr Floyd, 46 begged to be let go during the incident, telling the officer, "I can't breathe", before he lost consciousness.
He was taken to the Hennepin County Medical Centre where was pronounced dead.
The shocking event sparked huge protests in the city which descended into chaos when the Police Department's 3rd Precinct building was set alight on Thursday night.
Earlier, Jimenez had reported from outside the burning building. However around 5am on Friday, local time, remaining protesters clashed with police and tear gas was thrown.
On Thursday President Trump added fuel to the fire by warning if local authorities can't restore order, he would send in the country's military to deal with the "thugs", adding: "When the looting starts, the shooting starts."
The tweet prompted a warning from Twitter saying it violated the site's rules about "glorifying violence."
Earlier Trump has said "I feel very, very badly" about George Floyd's death.
"That's a very shocking sight," he said.
Local leaders have repeatedly urged demonstrators to avoid violence.
"Please stay home. Please do not come here to protest. Please keep the focus on George Floyd, on advancing our movement and on preventing this from ever happening again," tweeted St. Paul Mayor Melvin Carter, who is black.
