Two prisoners who escaped from Kerobokan prison have been returned to Bali amid tight security.

Key points: Bali police believe the prisoners were part of a syndicate which helped them escape to East Timor

Bali police believe the prisoners were part of a syndicate which helped them escape to East Timor Australian Shaun Davidson had less than three months left of his sentence

Australian Shaun Davidson had less than three months left of his sentence Escape was partly enabled by a lack of supervision at Kerobokan, an inspector says

Bulgarian Dimitar Nikolove Ilieve and Indian Sayed Mohammed Said arrived at Bali's international airport from Dili in East Timor late on Saturday, and will now be questioned by police who believe they were part of a syndicate.

Shaun Davidson has used social media to indicate he is in Amsterdam. ( ABC News )

Two other prisoners, Australian Shaun Davidson and Malaysian Tee Kok King, remain on the run.

"We will further investigate which syndicate helped them escape to another country," Bali's police chief Petrus Golose said while commending the work of East Timorese police.

"After we have done interviews with these convicts, we are going to find out who else is involved in the escape."

The prisoners who have been returned will undergo health checks before they are questioned.

"We can't just trust what the convicts [say], we need to investigate whether they're telling the truth or just building alibis," Inspector Golose said.

"From the investigation we have done we can tell they're both experts, one is a scammer and the other is a drugs convict."

Sayed Mohammed Said arrived in Bali on Saturday. ( ABC News: Ambros Boli )

Iliev is serving a seven-year sentence for money laundering and Said 14 years for drug offences.

Davidson, from Perth, had less than three months left of his one-year sentence for passport fraud.

It is believed the four escaped the prison through a 50-by-70-centimetre hole found in a wall, which connected to a 15-metre-long water tunnel.

Davidson has used social media to indicate he is in Amsterdam, but that has not been verified.

"We are still pursuing them," Inspector Golose said of Davidson and the Malaysian man.

"If they have managed to cross borders we can also work together with other countries."

The ABC's Foreign Correspondent recently spent a week filming behind Kerobokan's walls, revealing an overcrowded and deeply underfunded prison.

On a normal day there are just eight guards on duty. Four in the watchtowers and four on the ground to guard around 1,300 male prisoners.

"We have to admit that since the beginning of the escape, and how it happened, it's because of the lack of supervision," Inspector Golose acknowledged, saying the system needed evaluating.

"Because it's dangerous if convicts can escape from prison."