The North's official Korean Central News Agency said on Saturday it was investigating the journalists it detained last week for "illegally intruding" into its territory after crossing the border from China.
The women work for the California based-Current TV, an online media outlet founded by Al Gore, the former US vice-president.
They were on a reporting trip when they were seized after reportedly ignoring North Korean warnings to stop filming from the Chinese side of the border.
The reporters were seized near the Tumen river, a common escape route for refugees fleeing the North.
The Tumen river in the east and the Yalu river in the west form most of the border between China and North Korea.
Yonhap also said the North is expected to "politically" use the journalists in its negotiations with the US government.
Ties between Washington and Pyongyang are already strained over the North's refusal to fully verify its past nuclear activities as well as its plan to launch a satellite into orbit in April.
US and other regional powers argue the launch is a cover for a long-range missile test.