Stephen Simpson, 61, and Mary Somerville, 77, both of Bradford, West Yorkshire, and Phillipa Green, 24, of Penryn, Cornwall, were arrested at the scene on Friday.
The paintings form part of an exhibition of more than 60 pieces painted by the Dutch artist, who died in 1890 aged 37.
The gallery said the two paintings targeted had been removed from public viewing for examination.
The exhibition has received rave reviews from critics, with The Times calling it a "once-in-a-century" show.
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