Al Shabab extremists shot 28 people dead after they were unable to read a passage from the Koran.
The bus was travelling to the capital Nairobi when it was hijacked 31 miles from Mandera town.
Police say the gunmen singled out non-Muslims and most of the dead were on their way home for the Christmas holiday period.
Since Kenya sent troops into Somalia in October 2011 it's been the target of several terrorist attacks.
Authorities say there have been at least 135 attacks, including the Westgate Mall massacre in which 67 people were killed.
Revd Dr Patrick Mungiriria leads a church in Nairobi and told Premier he was shocked but not surprised by the incident.
"I'm so shocked but these attacks are so sporadic," he said.
He added that the escalation in violence had forced him to hire private security to protect worshippers at Sunday services because 'the government security is not enough for every church in the entire country'.
"We cannot afford to be scared," he added.
What is Al Shabab?
In a statement Sheikh Ali Mohamud Rage, a spokesman for Al Shabab, said: "By the grace of Allah, the Mujahideen successfully carried out an operation near Mandera early this morning, which resulted in the perishing of 28 crusaders, as a revenge for the crimes committed by the Kenyan crusaders against our Muslim brethren in Mombasa."