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R. Kelly's alleged sex slaves or, as they would say, girlfriends, are setting the record straight on where the hell they've been since the singer was arrested -- and they say ... nothing's changed.

A rep for Joycelyn Savage and Azriel Clary tells TMZ ... the women were sitting comfortably in R. Kelly's Chicago apartment inside Trump Tower on Sunday afternoon when they recorded this video ... addressing claims they'd been evicted from the premises following Kelly's arrest for 2 federal indictments.

In the clip -- obtained by TMZ -- Azriel does most of the talking and says they're fine and dandy, and living comfortably inside R. Kelly's pad.

They even give a glimpse of the view from the high-rise, showing off the Chicago skyline. Azriel says they're at the "Trump" ... and adds it's the same place they've been for years.

However, she insists they move freely and come and go as they like, attempting to knock down the notion they're being held against their will. This part seems to be a direct message to their parents -- who've been vocally and publicly concerned for years now.

They go on to thank R. Kelly's fans for the ongoing support amid his new legal battles.

The video comes on the heels of Kelly's rearrest in Chicago on new federal charges, including racketeering and sex trafficking and obstruction of justice. Of course, that's on top of the state charges he's been facing in Cook County, IL.

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Joycelyn and Azriel's parents relayed that they were concerned for their daughters, whose whereabouts since Kelly's arrest had been unknown until now. There had been reports they were kicked out of Kelly's place ... but they claim they've always been there through the whole ordeal.

As we reported, Joycelyn's father confronted Kelly's spokesperson during a news conference, demanding to know his daughter's whereabouts. We're told Joycelyn and Azriel are denying the alleged suicide pact some family members thought had been formed.