Yevgeny Mataitis and Aristidas Tamosaitis, who were convicted in 2016, have been reunited with their families, Lithuanian spy chief Darius Jauniskis said.
Frode Berg, a Norwegian sentenced in Russia to 14 years in prison for espionage, was handed over to Norway's embassy in Vilnius after he crossed into Lithuania.
Earlier in the day, Russians Nikolai Filipchenko and Sergey Moiseyenko were pardoned by Lithuanian President Gitanas Nauseda.
The Baltic News Service said the spy swap took place at noon at a border checkpoint with the Russian exclave of Kaliningrad. No further details were available.
"We are happy that Frode Berg is now coming home to Norway as a free man," Norwegian Prime Minister Erna Solberg said.
"I would like to thank the Lithuanian authorities for their cooperation and for their efforts to free Berg."
Norwegian Foreign Minister Ine Eriksen Soereide said Norway had "worked systematically" to get Berg, a retired border inspector, freed since his arrest in Moscow in December 2017 on espionage charges for collecting information about Russian nuclear submarines.
Prosecutors asserted that he was caught with documents he had received from an employee of a military facility who was shadowed by Russian intelligence.
"The only thing we want to say now is that we are overjoyed and happy," Berg's daughter, Christina, told Norway's VG newspaper.
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