The pair, aged 24 and 29, were arrested on Tuesday in Toulon, about 65 kilometres (40 miles) east of Marseille.
Ahmed Hanachi, a 29-year-old Tunisian, fatally stabbed the two women at Marseille's Saint-Charles train station on October 1, before being shot dead by police.
The Islamic State group claimed responsibility, but French investigators have not found any evidence linking the attack to the jihadists.
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A judicial source said of the arrests: “The 24-year-old man may have hosted the killer Ahmed Hanachi during one of his visits to Toulon.”
The source added the suspects were together when they were arrested.
Police have focused their investigation on Hanachi's family, arresting four of his siblings in the days following the attack. Two have been freed.
The other two siblings, brothers Anouar and Anis, await extradition after their arrests in Switzerland and Italy, respectively.
French investigators suspect Anis of complicity in the Marseille attack.
Described as a former jihadist fighter in the Iraqi-Syrian area, he is expected to be extradited to France.
According to the head of Italian anti-terrorism Lamberto Giannini, French investigators are looking into whether Anis “indoctrinated his brother Ahmed and caused his radicalisation”.
The second-youngest of five siblings, the attacker was not known to attend any mosque.
But he was known to the police for drug as well as alcohol problems and had a history of petty crime, using seven aliases. He was not on a jihadist watch list.
Two days before the attack, he was arrested for shoplifting in the eastern city of Lyon but was allowed to walk free the following day — a decision the government's inspectorate general (IGA) said revealed “serious faults” in the system around dealing with foreigners whose papers are not in order.