The officials - reportedly from Tanzania Immigration authority are said to have searched the pair's belongings and would not return their passports when asked.
CPJ accused the authorities of sending a false tweet from Quintal's personal account saying that they had been released and making several attempts to access her email account.
The country's Immigration Department said it had arrested them because they violated their stated goal of visit to Tanzania.
"It is now abundantly clear to anyone who followed the latest developments that Tanzanian journalists work in a climate of fear of intimidation, " he said.
South Africa's Department of International Relations and Cooperation (Dirco) said the two journalists are back in their hotel.
The crux of Tanzania's immigration department's defence was that the women on arrival in the country never informed immigration officials that they were there to carry out a journalism investigation and that prior to contacting local journalists they should have first contacted the authorities.
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The Tanzanian authorities have freed former Nation Media Group journalist Muthoki Mumo and former Mail & Guardian editor Angela Quintal who had been detained in unclear circumstances. She is also a former national office bearer of the South African National Editors' Forum (Sanef).
They were detained on Wednesday by "officers who identified themselves as working with the Tanzanian immigration authority", according to the organization. "Quintal and Mumo were then escorted from the hotel and. taken to an unknown location".
Quintal and Momo are in Tanzania on a reporting mission for CPJ.
CPJ's executive director Joel Simon has called for their immediate release.
"Angela Quintal and Muthoki Mumo traveled to Tanzania to understand the challenges facing the Tanzanian press and to inform the global public", Simon said.
Both Quintal and Mumo's social media accounts have since been deactivated. "The United States remains committed to the values of democracy, rule of law, freedom of expression, and prosperity in Tanzania".