The Azerbaijani men both showed signs of physical violence, according to officials in Baku and Azerbaijan's prosecutor general has now initiated a criminal case where Russian police are accused of having tortured and deliberately killed the brothers.
Just a few hours later, authorities in Azerbaijan arrested two Russian journalists working for the state-controlled Sputnik and accuse them of spying for Russia's security service FSB, which Russia denies.
The dispute began on Friday when Russian police in the city of Yekaterinburg made a raid against persons suspected in a murder case dating back to 2001. In addition to the brothers who died in custody, others were taken to hospital.
Russian police claim that one of the men died of a heart attack and that the cause of the other death has not been confirmed.
In response, Azerbaijan has also cancelled a forthcoming visit by Russia's vice prime minister and all shows with Russian artists.
Moscow, in turn, has summoned the Azerbaijani ambassador and accused Baku of "taking deliberate measures to dismantle the bilateral relations", according to Russia's foreign ministry in a statement, according to the news agency AFP.
The relationship between Azerbaijan and Russia has been tense since a plane from the airline Azerbaijan Airlines crashed in western Kazakhstan in December.
Azerbaijan's president Ilham Aliyev has said that Russia shot down the plane and has accused the Kremlin of trying to cover it up. Nearly 40 people died in the plane crash.