The song is titled "Like a Red Prison," RIA Novosti said.
The track makes a fleeting reference to members Nadezhda Tolokonnikov and Maria Alyokhina, who were sentenced to two years in jail for hooliganism for their punk prayer against Vladimir Putin.
The new song takes on Kremlin-controlled oil gas companies, as well as Putin, the band said.
"Last year, oil and gas revenues amounted to 7 trillion rubles [about $215 billion] of the state budget, but it's only Putin and several of his friends who saw the 7 trillion," the band said in a statement posted on its website.
In the video, the young women douse oil on the portraits of Putin and the head of the state-controlled oil company, Igor Sechin, RIA Novosti said.
The band became popular during the members' trial last summer, after it performed at Moscow's Christ the Savior Cathedral without authorization.
The band played several anti-Putin songs, and the church supported the court's decision to prosecute members despite global protests and condemnation from other musicians.