The women, aged 23 and 30, were arrested in the eastern city of Strasbourg and the western town of La Roche-sur-Yon by officers from the domestic DCRI intelligence service.
One of the women has French citizenship, the other Russian, the source said, adding that they are being held on possible charges of "criminal association with a terrorist group".
The source provided no details of the allegations against them. Under French anti-terrorism laws, suspects can be held for up to four days without charge.