The pit was dug by a private firm for laying a pipeline.
According to a police official, the incident occurred when the women were extracting mud.
The deceased are identified as Kusum Ahirwar (38) and Roshni (20), said Jatara Police Station Inspector Rajesh Singh Banjara.
The trapped women were extricated from the heap of mud with the help of people, he said, adding that Ahirwar and Roshni were pulled out dead.
A case has been registered and further investigation is on, he added.