The script for Despicable Me 2 identifies them as sisters:
MARGO: Uh, sure. I'm...Margo.
They begin walking away together, then Margo is reminded of her sisters when Edith loudly clears her throat.
However, it doesn't confirm whether they're sisters as a result of Gru's adoption or that they were legally sisters before that.
The official Despicable Me: The Junior Novel identifies that they aren't sisters by birth:
Meanwhile, in another part of town, the three little girls arrive home. Or at least it’s their home for now. Miss Hattie’s Home for Girls is the name of the orphanage where Margo, Edith, and Agnes live. They wish every day for a nice family to come and adopt each of them.
They aren’t technically sisters, but they spend all their time together. Margo is the oldest, Agnes is the youngest, and Edith is the messiest.
Once again, they're referred to as sisters in Despicable Me 2: The Junior Novel (written by the same author), lending credence to the suggestion that they weren't legally sisters until after Gru had adopted them:
All the kids turn to see Gru’s pet dressed as a dragon. His name is Kyle, and he has long, spiky teeth. Kyle is not thrilled to play the part of the dragon and grumbles, causing the kids to scream and huddle around Agnes.
Then Agnes’s oldest sister, Margo, comes out dressed as Joan of Arc. She is wearing a suit of armor and carrying a mighty sword.