"You saved us! You saved us!" another of the captives, Michelle Knight, told an officer as she leaped into his arms.
Castro was arrested that evening.
Messages left for the women's lawyers were not immediately returned early Wednesday.
Castro was sentenced Aug. 1 to life in prison plus 1,000 years on his guilty plea to 937 counts including kidnapping and rape.
In a rambling statement, he told the judge he was not a monster but a man suffering from a pornography addiction.
Knight was the only one of the three who appeared in court at his sentencing.
"You took 11 years of my life away, and I have got it back," she said in the hushed courtroom. "I spent 11 years in hell. Now your hell is just beginning."
This is the second high-profile suicide in an Ohio prison in a month.
On Aug. 4, death row inmate Billy Slagle was found hanged in his cell just days before his scheduled execution. He was condemned to death for fatally stabbing a neighbor.
Andrew Welsh-Huggins can be reached on Twitter at https://twitter.com/awhcolumbus.