The older two girls arrived in Rome by plane late on Friday night, The Courier-Mail reported.
They were handed over to their Italian father at the airport.
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The Family Court ordered the four sisters be deported after their mother brought them to Australia for a holiday in 2010 and never returned.
The girls' family in Australia are preparing to lodge an official complaint about the actions of the Australian Federal Police (AFP), according to the paper.
Federal police removed the sisters, aged nine to 15, from their Sunshine Coast home on Wednesday night.
The girls were separated on Thursday when two were removed from a flight from Brisbane in a highly emotional state.
A family member accused the AFP of mistreating the children and said a complaint would be lodged with the ombudsman.
"We will be pursuing the matter and will be expecting prompt responses and action," the family member told newspaper.
The family has also indicated they will consider a legal challenge in Italy.
The situation follows a ruling by the Family Court in Brisbane that there were no exceptional circumstances allowing it to disregard Australia's obligations under the Hague Convention on child abduction.
