Authorities freed Nadezhda Tolokonnikova and Maria Alyokhina, who called the release near the end of their terms a "PR stunt" in advance of the 2014 Winter Olympics in Sochi.
Alyokhina said she would rather have stayed in prison, the BBC reported.
The women were arrested and convicted for "hooliganism motivated by religious hatred" after performing a protest song in Moscow's main cathedral in February 2012. The act was considered blasphemous by many Russians.
Tolokonnikova and Alyokhina had been imprisoned since March 2012 and would have been released sometime during the next three months.
Their cases drew international condemnation of Russia's human rights record, with critics saying their prosecution and sentences represented a stifling of free speech.
The convictions were criticized by rights groups, activists against Russian President Vladimir Putin and foreign governments.
The third band member, Yekaterina Samutsevich, also was convicted but her sentence was overturned on appeal.
Last week, Russian lawmakers passed an amnesty law that is expected to bring about the release of many high-profile defendants and prisoners, including Greenpeace activists arrested while protesting arctic oil exploration, the New York Times reported.