Both women acted as if they were not surprised by the news that they were the first up for the public vote.
Penny told the others it was not a problem as she had always maintained "the first person out and the last person out will be getting most of the media attention".
Blonde Helen said she had resigned herself to being the first one to leave the house.
She said she was more shocked to hear Penny was the other person to be nominated.
Comfort
True to his character, air steward Brian was the first to comfort the pair by giving them a hug.
Penny and Helen will now have to wait until Friday to find out which one the public wants out first.
Cameras captured Friday's eviction nominations live to see Penny and Helen receive five nominations each.
The departing housemate will be replaced by Josh, who viewers voted for on Friday to be the 11th contestant.
The 32-year-old property manager has promised "nudity, nocturnal activity and naughtiness".
The 10 existing housemates are currently in their 11th day locked in the east London property together.
'Smothering'
Stuart said he voted for Penny because he felt she was "mothering" and "smothering" the group.
Table dancer Amma said: "She talks to people like we're kids. It can be a bit patronising."
Outside the house, Penny has been in trouble with her headmistress who said she could face the sack after appearing nude in front of cameras and setting a bad example to her pupils.
Among the criticism levelled at Welsh hairdresser Helen was that she didn't try hard enough at the task of keeping a fire lit and that she was insensitive.
Narinder got three votes, with Paul, Bubble and Amma receiving two nominations each.
Stuart, Dean and Brian were the only ones not to be picked by any of their fellow housemates.