Leung and Wong, both key figures in the pro-democracy movement that occupied Hong Kong's streets last fall to demand greater voting rights, were planning to give talks in Malaysia about the protests, as well as the 1989 Tiananmen Square crackdown in Beijing.
But the two men both said they were denied entry by officials, who refused to provide an explanation.
"They showed me a piece of paper indicating that, according to a certain section of the immigration ordinance, I am a 'prohibited immigrant
' -- that's it. No reason," Leung told CNN upon returning to Hong Kong.
"I think it's a shame, and I strongly protest the Malaysian government, since it is a violation of my basic rights," he said, adding that he planned to sue the Malaysian government.
Malaysia's Inspector-General of Police Abu Bakar Khalid told AFP
the lawmaker was deported because "We do not welcome troublemakers ... we only welcome peace-loving people."
Khalid also said earlier there were fears the teenage Wong's visit would "harm our security."
"We know his anti-Chinese speeches," he said. "We do not want him to jeopardize our ties with China."
Calls made by CNN to the Malaysian Immigration Department and Malaysian Ministry of Foreign Affairs went unanswered.
Malaysia is not alone in denying entry to Hong Kong's protesters. Last fall, three pro-democracy student leaders attempted to fly to Beijing to petition the government, but were refused boarding after their travel permits were declared invalid.
Malaysian users react
Wong's Facebook page
was flooded with comments from users identifying themselves as Malaysian, revealing mixed reactions to the deportation.
"Sorry, democracy in Malaysia is dead," wrote a user. "But we will fight on, and hope one day you will be able to enter our country's territory."
But another user wrote, "If you want to come and give your so-called speeches, there's no need. The country is ours; we will save ourselves."
Malaysia holds elections for its political leaders, but human rights watchers and activists decry what they view as increasing political suppression
and decreasing free speech in the country.
An Economist Intelligence Unit survey
ranked Malaysia as a "flawed democracy" for 2014, ranking 65th out of 167 countries for democratic development.
Malaysia and China enjoy a close economic relationship. Malaysia exports critical electronic components and raw materials to China, with total trade between the two countries surpassing $100 billion in 2014, Malaysia's Prime Minister Najib Razak said Tuesday
Those ties led China to reward Malaysia with a "lovely pair of pandas"
Tourism from China visitors is also strong, despite brief fears after the disappearance of Malaysia Airlines Flight MH370 last year on which 154 Chinese nationals were aboard.
The Chinese government has assiduously downplayed accusations
made by the passengers' relatives against Malaysian officials, instead emphasizing the cooperation between the two countries.