Cricket Australia confirmed on Saturday night the incident had been raised with police, after the duo were followed by a man on a motorbike while walking to a cafe.
The pair immediately reported the incident to team security, who contacted police in Indore.
Local media have reported a man has since been arrested over the matter, after the cricketers gave statements to police.
"CA can confirm two members of the Australian women's team were approached and touched inappropriately by a motorcyclist while walking to a cafe in Indore," a CA spokesperson said.
"The matter was reported by team security to police who are handling the matter."
The incident is alleged to have happened on Thursday morning, the day after Australia's six-wicket win over England.
The players have been offered support, and are believed to be OK to continue playing in the tournament.
News of the man's arrest broke as Australia took to the field for their final-round match against South Africa, with a spot in the semi-finals already secured.
Australia have spent large parts of this tournament in Indore, with Saturday night's clash with South Africa their third game at Holkar Stadium.
Players will leave the city on Sunday, with a semi-final set down for either Mumbai or Guwahati.
Australia entered Saturday night's game against South Africa undefeated, in their bid to become the first team to win back-to-back ODI World Cups in almost 40 years.
When the game got under way, Australia couldn't have asked for a better start, as star spinner Alana King totally bamboozled the South Africans to take a career-best 7-18 off seven overs and help skittle the Proteas for just 97 off 24 overs.
In reply, Australia's run chase got off to a shaky start, losing opener Phoebe Litchfield (5 off 11 balls) and Ellyse Perry (six-ball duck) to slump to 2-11.
Georgia Voll (38no off 38) and Beth Mooney (42 off 41) then joined forces to steady the ship with a 76-run partnership.
Annabel Sutherland (10no off four balls) then joined Voll to guide Australia to 3-98 and a crushing win, with King unsurprisingly named player of the match.
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