Alexanda Kotey and El Shafee Elsheikh were captured several days ago in Syria by Kurdish forces.
They were wanted in connection with the torture and beheading dozens of people including US journalists James Foley and Steven Sotloff and British aid workers Alan Henning and David Haines.
The group they were part of, which also included "Jihadi John" Mohammed Emwazi and Aine Davis, was nicknamed The Beatles by captives because of their English accents.
The Home Secretary, while refusing to say where, has assured Sky News that the two Londoners will go through the justice system.
She said: "The important thing is that these two people face justice. We will always make sure it's properly coordinated and that they face justice."
US Defence Secretary, James Mattis, has said they should go to their country of origin to face justice.
Ms Rudd was asked whether the Government still considers the pair British, but said: "I can't comment on individual cases but we will always make sure we will keep everybody safe."
Diane Foley, whose son James Foley was beheaded in 2014, had told Sky News she hoped Kotey and Elsheikh were put on trial, fairly and transparently, and sent to prison for life.
She said sending them to Guantanamo Bay would be a huge mistake.
David Haines' wife, Dragana Prodanovic, also called for the pair to face a fair trial.
She told Sky News: "There is no moral satisfaction. I hope they will go through a fair trial and get the sentence they deserve - a life in prison - and not in a hotel, not in a very nice prison with all the commodities, but solitary."
A spokesman for the the Syrian Democratic Forces (SDF) told Sky News Kotey and Elsheikh were trying to escape to Turkey at the time they were picked up.
Kino Gabriel, a spokesman for the coalition fighters, said an investigation was under way and his colleagues were trying to get more information from the pair.
He said a decision on whether the men would be tried in Syria or in the UK would be made once the SDF investigation had concluded.