Alexandria and Kyliyah were released overnight from Le Bonheur Children's Hospital in Memphis, Tennessee, a hospital spokeswoman said.
"They were released in the middle of the night, somewhere between 2 and 5 a.m.," Sara Burnett said.
Burnett did not know to whom the children were released.
The FBI on Wednesday put Mayes on its list of 10 most wanted fugitives.
Authorities came to the wooded area Thursday evening after someone called to report what they believed may have been Mayes' vehicle, a law enforcement source close to the investigation said.
A task force was nearby and as members approached, Mayes stood up and shot himself in the head, the source said.
Mayes and his wife, Teresa Mayes, had been charged with two counts of first-degree murder and two counts of especially aggravated kidnapping. He faced an additional count of making a false report, according to arrest affidavits filed in Tennessee.
Adam Mayes' mother-in-law told HLN's Nancy Grace on Thursday that he may have believed he was the father of the two young girls he was accused of abducting.
"He believes they are his children," Josie Tate told Grace.Police said Teresa Mayes told them she was in the Bains' garage when Adam Mayes killed Jo Ann and Adrienne Bain.
Teresa Mayes' attorney, Shana Johnson, said Thursday that her client last saw Mayes and the Bain girls in Mississippi on April 27.
The Mayes and Bain families are connected through Adam Mayes' sister Pamela, who used to be married to Jo Ann's husband, Gary Bain, the lawyer said.
Johnson told HLN she was "happy" and "relieved" the girls had been found alive.
In affidavits, investigators said the Mayeses drove the bodies of Jo Ann and Adrienne Bain to Union County in northern Mississippi, where they were discovered Saturday in a shallow grave behind the house of Adam Mayes' mother in Guntown, Mississippi.
Bobbi Booth, Mayes' sister-in-law, told CNN's Anderson Cooper on Thursday night that she's "overwhelmed right now."
"All I'm (thinking) about now is that the children are safe," Booth said. "Thank you, God, for letting those children come home."
Booth described Adam Mayes as "aggressive, abusive, crazy obviously."
But Booth said she never had an inkling Mayes would be accused of kidnapping and murder.
"I never dreamed that he would do this," she said.