The nuns were sent to their home countries in Africa from their order in Sicily to complete missionary work, Italian news outlet ASNA reported last week.
One nun, age 34, discovered she was pregnant after she was given an ultrasound following complaints of stomach pains.
The other nun, a mother superior originally from Madagascar who cared for the elderly, also found herself pregnant, the report said.
She left the order to return to her home country, the report said. The other is expected to leave the order to raise her child.
A church official told The Sun an investigation was being opened into the breaching of the "strict rules of chastity."