Americans are able to travel to North Korea on arranged tours and are constantly accompanied by North Korea minders.
After an elderly American was detained in the country, the U.S. State Department issued a travel warning on Nov. 19, advising against all travel by U.S. citizens to North Korea.
The two rappers said their trip shied away from politics.
"I mean we did not go there to be political. We just go down there to shoot our video and that about the reason why we went, not political," said Pacman - whose real name is Anthony Bobb.
The duo from the Washington area spoke to reporters at an airport in Beijing upon their return from a five-day trip to North Korea.
"Nobody shot a video in North Korea, let alone thought of it. Nobody even thought of making a video in North Korea. You know what I'm saying?" said Peso, whose real name is Dontray Ennis.
They raised more than $10,000 on the crowdsourcing site Kickstarter to fund their trip.
The rappers said the unusual move could jumpstart their music careers. They hope to release the video next month.
North Korea has detained at least six Americans since 2009, including journalists accused of trespassing and others accused of trying to spread Christianity. North Korea state media claimed Saturday that 85-year-old Korean War veteran Merrill Newman had apologized for committing "hostile acts" against the state during a trip in October, but the report could not be independently verified.
The rappers said they encountered no problem while in North Korea. "They treated us well, like I was sick out there for good two days and they took care of me until I got over the sickness," Peso said.