Metropolitan Police Bureau (MPB) commissioner Sriwara Rangsiphramanakul said the attack was politically motivated.
However, Pol Lt Gen Sriwara said he could not elaborate at this stage.
The suspects were identified as Yutthana Yenpinyo, a 34-year-old Yasothon resident, and Mahahin Khunthong, also 34, from Pathum Thani.
The suspects have identified the person who hired them to carry out the attack, as well as the place where the grenade was brought, Pol Lt Gen Sriwara said.
Intelligence officers had been alerted about possible attacks three or four days before the blast took place, he said.
Security officers had been urged to remain vigilant at key state buildings, he added.
"Arrest warrants for the others involved would be issued soon," Pol Lt Gen Sriwara said.
The blast occurred at the car park of the court on Ratchadaphisek Road about 8pm.
The safety lever of the grenade – which was identified as a Russian- made RGD-5 – was discovered at the scene.
A motorcycle was found lying on its side in front of the Thai State Attorney Museum, about 300 metres from the blast site. Bullet cases were also discovered nearby.
The suspects had travelled by motorcycle to the blast site and were arrested soon after.
Army spokesman Winthai Suwaree said the arrests were made quickly because a mobile unit had been following the suspects for some time.
As soon as Mr Mahahin threw the grenade, officers rammed into the bike. Fighting ensued and the suspects were arrested, he said.
Security sources said Mr Mahahin opened fire at the soldiers in a bid to escape, prompting them to return fire, which hit Mr Yutthana, who was driving.
Mr Mahahin fled the scene but was soon caught as he climbed a wall into a housing estate behind Phaholyothin police station, the sources said.
A .38-calibre handgun was found with him.
Mr Yutthana suffered four gunshot wounds and was taken to Phramongkutklao Hospital for treatment.
Mr Mahahin was taken for questioning.
Police held a meeting with Pol Lt Gen Sriwara at the MPB Sunday to discuss the case.
According to officers, Mr Mahahin admitted planning the attack with Mr Yutthana at an apartment in Pathum Thani after being hired for B10,000 over the Line application.
The pair will be under military custody for seven days, in line with martial law.
Deputy government spokesman Sansern Kaewkamnerd said that Prime Minister Prayut Chan-o-cha had urged the public not to pressure security officers to rush the investigation.
Security has been beefed up at all courts in Bangkok after the blast.
Meanwhile, former Pheu Thai Party list-MP Cherdchai Tantisiri, who is also a red-shirt co-leader, said the attack had nothing to do with the United Front for Democracy against Dictatorship.
The government is beset by problems, including economic woes, monastic reform and maintenance of martial law, which may have upset some groups, he said.
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