In video footage of the incident, high profile members Nadezhda Tolokonnikova and Maria Alyokhina, who were only recently released from prison, are seen protesting before being whipped and shoved around.
The Russian Cossacks whip the girls in the stomach, violently pulling at their masks and pushing Nadezhda to the floor.
Pussy Riot oppose Putin and believe that the Sochi games are a political event.
'The city is under total police and security control,' said Nadezhda.
'We have arrived here on Sunday, we are being detained all the time. Even when we were driving our car and walking in the street. So they are looking for any reasons to arrest us.'
However, 6 other members of Pussy Riot signed an open letter earlier this month, asking that Maria and Nadezhda no longer be described as members of the collective, because they had forgotten the 'aspirations and ideals of our group.'
Maria and Nadezhda were imprisoned in 2012 after a protest in the church in Moscow.