The two videos were posted Saturday. The group is believed to be involved in the bombing that happened at a train station in Volgograd just last month.
The video shows the men preparing bomb-making materials. They also make a specific threat to people planning to visit during the games, saying there will be a surprise package for tourists visiting Sochi during the Olympics.
On Friday, Russian President Vladimir Putin vowed the country plans to do all it can to provide safety without being too intrusive.
"We will try to make sure that the security measures taken aren't too intrusive or visible and that they won't put pressure on the athletes, guests and journalists," Putin said. "At the same time, we will do our best to ensure that these measures are efficient."
The 2014 Winter Olympics run from Feb. 7-23.
The Associated Press contributed to this report.