The two infected women are sisters and one is in a critical condition, transmissible diseases unit chief Mohammad Mehdi Gooya told the Fars news agency.
Both are receiving specialist treatment in the hospital in the southern province of Kerman where they are believed to have been infected.
There was no immediate word on whether the returning pilgrim who was the suspected carrier had tested positive for the coronavirus that causes Middle East Respiratory Syndrome.
The vast majority of MERS cases worldwide since the virus's discovery two years ago have been in Saudi Arabia.
Nearly all cases recorded elsewhere have been among people who had recently travelled to the kingdom or one of its Gulf Arab neighbours, or had been in contact with someone who had.
Iran's first reported cases come just a month before the Muslim holy fasting month of Ramadan when pilgrim numbers are expected to rise sharply.
Nearly 900,000 Iranians make the pilgrimage to the Muslim holy places in Saudi Arabia each year, most of them during the annual hajj, which this year falls in October.
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Gooya said Iranian authorities would test all returning pilgrims and that anybody displaying potential symptoms would be kept under quarantine for two weeks.
MERS is considered a deadlier but less transmissible cousin of the SARS virus, or severe acute respiratory syndrome, that appeared in Asia in 2003 and killed hundreds of people, mainly in China.
Like SARS, it appears to cause a lung infection, with patients suffering coughing, breathing difficulties and a temperature. But MERS differs in that it also causes rapid kidney failure.
Studies have confirmed that the likely source of the disease is among Saudi Arabia's huge camel herd.
But a cluster of cases among medical staff and hospital patients in the kingdom in recent months have shown that the virus can be transmitted from person to person unless strict precautions are taken.
The World Health Organisation has urged medical authorities across the globe to step up measures to prevent infection.