Police believe that the girls were engaged to the leader of the cult of polygamy, writes The New York Daily News.
The girls were found near the town of Lund, Utah, about 175 miles (280 km) from their home in Spring City.
Their two brothers, aged 6 and 7, were found a few hours earlier during a police raid on the settlement of the polygamy worshipers Knights of the Crystal Blade, created by the father of the children John Coltarp with the self-proclaimed prophet Samuel Warren Schaffer.
All four children disappeared in September.
The mother of the children Misha Sobl, who after the divorce received sole custody of the children, said that her former husband was excommunicated from the Mormon church, and then in 2016 founded a cult.
Relatives of the children feared that Koltarp gave his two daughters to Shaffer as brides, and also feared for their safety, as Koltarp threatened to kill children if law enforcement officers tried to take them away from him.
John Coltarp was arrested on December 1 on suspicion of kidnapping and failure to comply with the court's decision, but the man refused to tell the authorities where his children were.
During the search in the settlement of the cult, law enforcement officers discovered the sons of Koltarp. During the raid, Shaffer was arrested and told the authorities where his daughters were, as well as the girls of Coltarp.
One of Schaffer's daughters was locked in a trailer with one of the Coltarp girls about 5 miles from the settlement, the other two girls were found locked in barrels from under the water.
Children are in good condition, now they are examined by doctors.