UPDATE: Both members of Pussy Riot, along with the activists and journalists arrested with them, have been released - all wearing their trademark neon balaclavas.
Nadezhda Tolokonnikova, in the blue balaclava, and Maria Alekhina, in the pink balaclava, make their way through a crowd
No charges were filed against Tolokonnikova and Alekhina, or others who were detained.
Tolokonnikova and Alekhina run down the street with other women
Pussy Riot's newly released members have been arrested again in Sochi, in the final week of the Winter Olympics, AP reported.
Nadzehda Tolokonnikova and her bandmate Maria Alyokhina both tweeted on Tuesday morning that they had been arrested, Tolokonnikova saying she was "accused of robbery".
Alyokhina tweeted: "We were detained at the church of the Archangel Michael in Sochi on criminal charges. We were bundled by force into a paddy wagon [police car]. We did not resist, but they beat us."
Both tweeted pictures of themselves inside the prison van.
Tolokonnikova added: "At the moment of detention, we had not carried out the action, we walked along the street in Sochi. WALKED."
Both tweeted their mobile phone numbers and the numbers of the lawyers for journalists to call.
Tolokonnikova told the Guardian in a phone call: "They told us we are suspected of theft. Of course there has been no theft."
The Voina Group, a political opposition group in Russia linked to Pussy Riot, tweeted that the pair were in Sochi to perform and record a music video for a new Pussy Riot song: "Putin Will Teach You To Love The Motherland".
“How stupid do you have to be to arrest Pussy Riot in Sochi during the Olympics?” Russian opposition leader Alexei Navalny tweeted.
According to AP, the two women, along with several supporters and journalists, were being held at a police station in Adler, a suburb of Sochi that is home to the Olympic Park.
Amnesty International said nine people in total were arrested, including Semyon Simonov of the human rights centre Memorial, journalists from Radio Free Europe and the Russian independent newspaper Novaya Gazeta, and local human rights activist David Hakim.
Amnesty International Europe and Central Asia Director John Dalhuisen said:
“In Putin’s Russia, the authorities have turned the Olympic rings - a worldwide symbol of hope and striving for the best of the human spirit - into handcuffs to shackle freedom of expression.
“This is outrageous. There are reports of arrests of activists in Sochi and the Olympic Games area almost daily. The International Olympic Committee must roundly condemn these and all arrests of activists near Sochi.
“People are being targeted merely for peacefully speaking their minds. The Russian authorities must end this downward spiral of human rights violations around the Olympic Village.”
The Russia authorities claimed this was related to a theft at a hotel where the group had stayed.
The women spent almost two years in prison but were released in an amnesty in December. A third member, Katia Samutsevich, was released with a suspended sentence in 2012.
The three were convicted of hooliganism after staging a "punk protest" in Moscow cathedral, a demonstration in neon ski-masks against President Vladimir Putin's administration.