The two men were reportedly travelling from Moscow to Helsinki on 13 February when they were forcibly removed from the train by police using tear gas.
Finnish police said they failed to show identity papers and refused to allow train staff into their compartment.
They were released after providing proof of their diplomatic status.
The two North Koreans continued their planned journey from Helsinki to Stockholm, officials said.
"According to the police, they showed no documents on the train at all and they really should have produced diplomatic papers," Finnish foreign ministry spokeswoman Tiina Myllyntausta told Associated Press news agency.
"This is not really a political problem, it's purely judicial," she said.
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