The story never actually says to us openly that the two women know Mrs. Wright killed her husband, but for the discerning reader, it makes it clear from the various bits of evidence that are presented that the two women know the identity of John Wright's murder. This of course comes after we have been told that John Wright died by strangulation, and after the two women have discovered the corpse of the bird with its neck broken. At this stage, note how the two women react:
And then again the eyes of the two women met--this time clung together in a look of dawning comprehension, of growing horror. Mrs. Peters looked from the dead bird to the broken door of the cage. Again their eyes met. And just then there was a sound at the outside door. Mrs. Hale slipped the box under the quilt pieces in the basket, and sank into the chair before it. Mrs. Peters stood holding to the table.
The use of diction such as "dawning comprehension" and "growing horror" clearly indicates their awareness that they have discovered the one piece of evidence that clearly links Minnie Wright to the murder of her husband. Whilst the other evidence they have discovered, such as Minnie Wright's poor sewing, would not be enough by itself to incriminate her, taken with this piece of evidence, it clearly points towards the way that John Wright killed the bird, and then Minnie Wright, overwhelmed by anger, killed her husband in turn.