The lawsuit was filed Monday with the Seoul Central District Prosecutors' Office, Yonhap news agency reported.
The right-wing band, whose name was not reported, allegedly made an extremely anti-South Korean music video for a song about the former sex slaves. In the song, the band called the women prostitutes and called for their death.
A CD containing the song and a South Korean translation of its lyrics were delivered to a shelter for former sex slaves in Gwangju Thursday.
The women who filed the lawsuit are seeking to have the band punished for defamation, blackmail and other charges.
"[Japanese soldiers] forced me into sexual slavery when I was 14 or 15 years old. I am angry at them for claiming that they have not committed such [a crime]," Park Ok-sun, one of the victims, said before submitting the complaint.