The scuffles came a day after the protest punk band's members Nadezhda Tolokonnikova and Maria Alyokhina were detained by police in the Russian Black Sea resort for several hours yesterday in connection with a theft case.
The latest fracas over their stay in Sochi came as the International Olympic Committee (IOC) warned the girls that it would be "wholly inappropriate" to stage actions outside the Olympic venues.
The clash took place as Tolokonnikova, Alyokhina and one other Pussy Riot member sought to stage an action in the centre of Sochi, about 30 kilometres (20 miles) north of the main Olympic Park.
The girls were whipped repeatedly with horsewhips and roughly handled, video footage showed. At one point Tolokonnikova was thrown to the ground and her coat thrown on top of her.
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Cossacks, clad in their national clothes, are often seen helping the police with their work in the south of Russia in line with a tradition dating back to Tsarist times.
Tolokonnikova herself wrote on her Twitter feed @tolokno that they had been attempting to stage a new performance entitled "Putin will teach you to love the motherland".