Two Russian opposition activists denied political asylum in Sweden say they fear being arrested and beaten up if they are forced to go home.

“You never know when something will happen,” say Alexey Knedlyakovsky and Lusine Djanyan, who fled their home city of Krasnodar in March 2017 after what they say was a campaign of persecution by the secret police. They flew to Sweden with their two-year-old son and claimed asylum.

Last month the country’s migration board turned down their request. It said the couple had provided credible information about the harassment against them but decided they would not be at risk if they were sent home.

Knedlyakovsky and Djanyan are appealing the decision. “I don’t want to believe in conspiracy. But this looks like a political decision,” Knedlyakovsky says, speaking from the small Swedish village of Storå, three hours north of Stockholm, where they are living. “Our lawyer read the ruling and said: ‘It’s crazy.’

“I don’t want to think about what will happen if we go back. It’s dangerous. There will be a criminal prosecution for sure. And physical violence against me.”

Alexey Knedlyakovsky and Lusine Djanyan (second right) with Pussy Riot’s Nadya Tolokonnikova (left) and Masha Alyokhina. Photograph: Lusine Djanyan

The pair, both artists, have been politically active since 2010. In 2014 Knedlyakovsky and Djanyan took part in a protest with the feminist collective Pussy Riot against the Winter Olympics in Sochi. Knedlyakovsky was the only male participant and wore a dress in solidarity with the LGBT movement.

Ultra-nationalist Cossacks attacked the demonstrators with whips. Knedlyakovsky was hit over the head with his own guitar, arrested, pepper-sprayed and led away with blood streaming down his face. Djanyan was manhandled and left with kidney pains. The police also detained Pussy Riot’s Nadya Tolokonnikova and Masha Alyokhina, both of whom were previously imprisoned for a punk performance in Christ the Saviour Cathedral in Moscow.

In 2016 Knedlyakovsky staged another protest by attaching a wooden cross to a statue in Krasnodar of Felix Dzerzhinsky, who founded the Cheka, a forerunner of the KGB, now known as the Federal Security Service (FSB). Vladimir Putin is a former head of the FSB.

Knedlyakovsky says he was protesting against the merger under Putin of Russian state ideology and Orthodox Christianity. The stunt appears to have annoyed the local FSB chief; Knedlyakovsky was arrested and spent 15 days in jail, locked up in a windowless basement cell.

Tolokonnikova described Sweden’s decision as “inhuman”. She said the board underestimated the genuine threat to life facing opposition figures in Russia. “It’s an unfortunate message, both to activists here and in other authoritarian countries. It says: ‘If you are in danger, nobody will help you.’”

Before they escaped to Sweden, the couple were harassed on multiple occasions, Knedlyakovsky says. In 2013 Djanyan was fired from her job at a Krasnodar university for her political activities and was subsequently unable to exhibit her art in galleries and museums.

Alexey Knedlyakovsky placed a wooden cross on a statue of Felix Dzerzhinsky, founder of the Cheka secret police, in an act of protest. Photograph: Alexey Knedlyakovsky

At one point, when Djanyan was pregnant, a man in a cafe attacked her and accused her of “hating Putin”. On another occasion a woman struck her in a park. Unknown men turned up at the couple’s flat and warned Knedlyakovsky if he did not desist from politics he would be grievously punished.

The activist says the threat was real. He points to the fate of another local activist, the environmentalist Andrey Rudomakha, who was set upon by thugs and left with a broken nose and a traumatic brain injury. Rudomakha spent two months recovering in hospital.

Knedlyakovsky organised anti-government rallies for the Solidarity movement and was friends with its leader Boris Nemtsov, who was shot dead in February 2015 a few hundred metres from the Kremlin. Nemtsov’s posthumous foundation paid for the family’s tickets to Sweden.

Meanwhile, the Pussy Riot member Pyotr Verzilov – Tolokonnikova’s former husband – was poisoned in Moscow last September. He fell ill soon after appearing in court with other members of Pussy Riot following a pitch invasion at last summer’s World Cup final. Verzilov is currently living outside of Russia.

Knedlyakovsky says conditions in Sweden are good. The couple have two children – Tigran, five, and Levon, who was born last summer. The village has a library, a kindergarten and a lake. They are able to make art and “can do something”, he says, unlike less fortunate fellow refugees from Afghanistan and Iraq whose situation he calls “terrible”.

Sweden’s migration board said it did not comment on individual cases. Its ruling says the “applicants” will be expelled. They can either travel to Russia or to another country willing to take them. They must leave Sweden no less than four weeks after the decision becomes final and non-appealable.

The ongoing appeal process is likely to last several months. The board considered letters of support for the family from four human rights organisations, including Memorial, Russia’s foremost civil rights society.

The individuals who harassed him and his wife were sent by the Russian state, Knedlyakovsky says, which Swedish authorities appear not to have grasped. “If we return they [the FSB] will do something,” he said. “We can’t go back. We are optimists. We will try and find a way to live in Sweden or to move to another country.”