The women said in their complaint they were performing a play to raise awareness about human trafficking in the largely tribal Khunti district of Jharkhand state on Tuesday when they were abducted.
The assailants shot videos of the attack and threatened the women if they went to the police.
The women worked for the non-governmental organisation Asha Kiran which is supported by a local Christian missionary group, police officer Rajesh Prasad said.
Police have also rounded up some supporters of Pathalgadi, an anti-establishment self-rule movement popular in several tribal villages.
Pathalgadi supporters resent outsiders and do not allow them to enter or settle in their area.
Khunti is also a hotbed of Maoists, armed guerrillas who have been waging a decades-long insurgency mainly for land rights.
Prasad said the women had undergone medical tests and that police were awaiting the results.