Diplomatic sources and media reports identified the two women as Euna Lee, a Korean American, and Laura Ling, a Chinese American, who work for the California-based online news company Current TV.
South Korea's YTN channel said the North Korean guards crossed into Chinese territory to arrest the women after they ignored warnings to stop filming.
The Tumen river marks the border between China and North Korea and is a common escape route for refugees fleeing the North.
Chun Kiwon, a human rights activist who helped arrange the journalists' trip confirmed to AFP that they had been held since Tuesday.
"They told me they were going to do a programme on North Koreans who have fled the North."
Chun said they had entered entered China last Friday.
The reports come at a time of mounting tension on the Korean peninsula, with the North accusing the US and South Korea of using joint military exercises as a prelude to invasion.
North Korea has said it will launch a rocket in April that it says will carry an experimental communications satellite into orbit.
The US and North Korea's neighbours believe the launch is a cover for a test of a long-range missile that could potentially carry a warhead as far as US territory.