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.
“We have been questioning several people,” Prasad told AFP.
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.
India has been in the global spotlight since the 2012 gang-rape and murder of a woman on a New Delhi bus sparked angry protests.
But the number of sex attacks has grown since then with some 39,000 rape cases reported nationally in 2016.
Jharkhand has especially been in the spotlight after three teenagers were raped and burnt alive in separate incidents last month.