The programme was started after a number of attacks and attempted rapes.
A police official said women and children were being taught basic judo and how to punch and kick.
Police say there are around 100,000 people in camps in Kathmandu following the devastating earthquake in April.
"When we visited these temporary shelters we found there had been violence against women and children," said Tara Devi Thapa, deputy superintendent of police in the Kathmandu Valley.
"We thought it was a good idea to give them a skill so they can use it and benefit," she said.
Ms Thapa said around 70 women and girls in one camp in the Boudha area of the city were being taught how to do judo holds as well as how to kick and punch.
She said there had been a high demand from earthquake victims to learn how to defend themselves, and the police were considering offering the programme in all camps in the capital.
"We expect the amount of violence women and children face to increase as time goes on," said Ms Thapa.
"We think the shelters could be targeted by criminal and trafficking gangs," she said.
Hundreds of thousands of people were made homeless by the 7.8 magnitude quake and resulting aftershocks.
Many of these people face a long stay in temporary shelters before they can rebuild their homes.
The Nepalese police say they are giving self-defence classes to women and children earthquake survivors who are living in temporary shelters in the capital Kathmandu.