The five women have been put on a ferry and sent to Spain - the home country of four of the five. The other is German.
Morocco prides itself on its religious tolerance, but it has also cracked down on Shia Muslims in recent weeks.
It is against the law to try to convert Muslims in Morocco and the interior ministry spokesman said the five had been caught "red-handed".
A number of video cassettes in Arabic were apparently found when police broke up the meeting, described as Evangelical.
In recent years a number of converted Christians have been convicted for holding illegal religious gatherings and similar offences in neighbouring Algeria.
But Morocco has always prided itself on its religious tolerance.
Human rights groups have also protested at the recent series of events targeting those apparently promoting the Shiite form of Islam.
Morocco is almost entirely Sunni.
The kingdom cut off diplomatic relations with Iran at the beginning of this month, and accused the Iranian embassy of trying to convert Moroccans into Shias.
A school has been closed, and there have been reports of Shia books and CDs being seized.
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