The legislation, in force after being published in the official state government gazette, mirrors a national law currently being studied by a congressional commission.
The change poses a challenge to many brands in Brazil that often use images of skimpily-dressed women and suggestive situations to sell everything from beer to cars to mobile phone subscriptions.
In Rio de Janeiro state, home to Brazil's most famous city of the same name, such advertising rides on a long tradition of Carnaval and a focus on the beach and flaunting bodies.
"It is common to see companies in the media using the body of a woman to sell their products. They use it in a sexist way, showing contempt for the woman," a lawmaker heading a women's rights commission in Rio de Janeiro's state legislature, Enfermeira Rejane, said in a statement.
The new state law stipulates companies must withdraw offending ads, with initial fines ranging from $10,000 to $200,000. Repeat offenders face bigger fines of up to $400,000.
It applies only to companies headquartered in Rio de Janeiro state.
Brazil ranks 90 out of 144 countries for gender equality, according to the 2017 Global Gender Gap Report issued by the World Economic Forum. That was a backslide from 79th place in the previous report.
