According to media reports, the band members were held after a raid by police and immigration officers on a warehouse venue hosting their gig.
The founder of concert agency Hidden Agenda, which organised the gig, was also taken away by police.
It was the latest in a string actions on Hidden Agenda events, which have often struggled with licence issues.
Concert-goers posting on the promoters' Facebook page said around seven immigration officers came to detain the band members, citing issues with their work permits.
Hidden Agenda founder Hui Chung-wo was among those detained by police
As the situation got more tense, several police cars arrived with officers in riot gear and police dogs, said the witnesses.
The three band members of TTNG, the sole member of Mylets as well as Hidden Agenda founder Hui Chung-wo were then taken away by the police and immigration officers.
They were reported to have been released on Monday morning.
Hong Kong police confirmed to the BBC that several detentions had been made at the venue but would not give further details.
TTNG and Mylets are currently in the middle of a tour of Asia with upcoming dates on Tuesday in Guangzhou, followed by concerts in Beijing and Shanghai.