Nadezhda Tolokonnikova and Katya Nenasheva were posing dressed as prisoners while attempting to sew a Russian flag before being dragged away.
Both were released after three hours.
Nadya Tolokonnikova spent 21 months in jail after a Pussy Riot protest against Vladimir Putin in a Moscow cathedral.
The human rights campaigner staged her new protest on Russia’s national day.
While under arrest on June 12, Nadya Tolokonnikova posted messages on Facebook saying she wanted to draw attention to the struggles of female prisoners, both while incarcerated and once released.
Russian media reports said Nadya Tolokonnikova and Katya Nenasheva had been detained for holding an “unsanctioned rally” in Moscow’s Bolotnaya Square – the site of mass anti-government protests that began in 2011.
Since being released last year, Nadya Tolokonnikova has focused on campaigning around the world against President Vladimir Putin.
She was jailed along with fellow Pussy Riot members, Maria Alyokhina and Yekaterina Samutsevich, in August 2012 after being convicted of hooliganism.
They were among five members of the activist group to stage a “punk prayer” in Moscow’s biggest cathedral.
The act was seen as blasphemous by many Russians, and was condemned by the Orthodox Church.
Yekaterina Samutsevich was freed on probation in October 2012, but Nadya Tolokonnikova and Maria Alyokhina remained in jail until their release in December 2013.
In February 2014, members of Pussy Riot signed an open letter insisting that Maria Alyokhina and Nadya Tolokonnikova should no longer be described as part of the punk rock collective.
Pussy Riot said the pair had forgotten about the “aspirations and ideals of our group” and were wrong to appear at an Amnesty International concert in New York.
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