They were seized as they travelled by road to the site of the ancient Marib Dam, a major tourism attraction 176km east of the country's capital Sanaa, a Yemeni official told AFP.
The Japanese ministry said an embassy official had spoken with the women by telephone to confirm their identities and safety.
The Yemeni official said the kidnappers had been demanding the release of Malek bin Hassan bin Muaili, a member of their tribe, by the central government.
He had been detained on suspicion of involvement in an April 16 bombing which killed three policemen in Marib.
It was not immediately clear if he had been released.
Scores of holidaymakers and foreigners working in Yemen have been kidnapped over the past decade by tribesmen demanding better schools, roads and services, or the release of prisoners.
Most taken hostage are released unharmed.
Last year, a Yemeni tribe abducted two foreign engineers and their Yemeni driver after a dispute between a local contractor and the hostages' employer.
Ali Abdullah Saleh, the Yemeni president, says he will act forcefully against those who abduct foreigners which, along with attacks by al-Qaeda, have been hindering the country's efforts to boost tourism.