The two women, in their 80s, were part of a group of five on a walk near the promenade in the Armon Hanatziv neighbourhood when they were attacked.
Medics treated them at the scene before taking them to hospital where they were in moderate and stable condition with stab wounds to their torsos, the Shaare Zedek hospital said.
Police said the assailants fled to the nearby Palestinian neighbourhood of Jabal Mukaber.
Police spokesman Micky Rosenfeld said on Twitter: "Police units arrest 2 terrorists who carried out stabbing attack."
There has been a wave of Palestinian attacks targeting Israeli civilians and security forces, primarily in east Jerusalem and the occupied West Bank.
Since October last year 204 Palestinians and 28 Israelis have been killed, according to an AFP count.
Most of the Palestinians killed were carrying out knife, gun or car-ramming attacks, Israeli authorities say.
