The decision to relocate the pair comes after a court upheld their two-year sentences following the group's performance ridiculing President Vladimir Putin.
Defence lawyer Violetta Volkova said: "Nadya Tolokonnikova has been sent to Mordovia, and Maria Alyokhina to Perm. They were convoyed on Saturday."
The Perm and Mordovia regions, both in central Russia, host a vast network of Soviet-era prison camps infamous for their tough conditions.
Ms Volkova said the women's relatives had learned of the move when their parcels were rejected at the Moscow prison where they had been temporarily held.
She added that it remained unclear when the two young women, who both have small children, will reach their final destination.
A Twitter account set up by the band's supporters also said the two band members were taken in a "special" convoy to the prison camps, but gave no details.
The tweet said: "Of all the possible options, these are the cruelest prison camps."
The art group Voina (War), which is closely affiliated with Pussy Riot, wrote on its Twitter page that Mordovia was "the worst prison hell there is".
Tolokonnikova, Alyokhina and their bandmate Yekaterina Samutsevich were jailed for "hooliganism" in August after their balaclava-clad "punk prayer" inside Moscow's main cathedral.
The "prayer" asked the Virgin Mary to rid Russia of the then-prime minister Mr Putin who, at the time, was on the verge of winning a new term as president.
A Russian appeals court upheld the prison camp sentences against Tolokonnikova and Alyokhina earlier this month , but unexpectedly ordered the release of Samutsevich - in what many observers believe was an attempt to split the tight-knit band.