Nadezhda Tolokonnikova was sent to a prison in the Mordovia republic and Maria Alyokhina was sent to one in the Perm region Saturday, the group announced on Twitter.
"These are the most brutal colonies of all possible options," it said.
Both prisons are usually used to house killers, robbers and organized crime gangsters, The Moscow Times reported Monday.
Tolokonnikova and Mordovia, along with now-freed Yekaterina Samutsevich, were sentenced to jail in August after a court found them guilty of "hooliganism with the aim of inciting religious hatred."
Samutsevich last week was freed during an appeal hearing, where it was determined she was not among the masked women in the performance.
Defense lawyer Mark Feigin said he was not notified of the move of the two imprisoned women, but said when he called the Moscow detention center where they had been held, he received confirmation they had left, Interfax reported.
Prison officials would not confirm the location of Tolokonnikova and Mordovia, saying that information is only revealed to family members, the Times reported.