Six skiers were on the middle section of Labirint run when the avalanche struck, Roza Khutor said in a statement. The snow buried two women, and rescuers who dug them out were unable to save them, it said, while the four other skiers escaped unharmed.
The Kuban regional branch of state Rossiya television, citing witnesses, reported earlier that three people had been killed in the avalanche.
Roza Khutor was the site of the Alpine skiing competitions during the Winter Games in February and the Paralympics that followed. The resort re-opened to the public on Saturday.
The resort said it was clearing the snow from the run and trying to determine the cause of the avalanche. The Roza Khutor management also expressed its condolences to the family and friends of the two skiers who died.
A map of the mountain shows the Labirint run located at the far edge of the resort and labeled black, the most difficult of four categories.