Context. Parallaxes for 331 classical Cepheids, 31 Type II Cepheids, and 364 RR Lyrae stars in common between Gaia and the Hipparcos and Tycho-2 catalogues are published in Gaia Data Release 1 (DR1) as part of the Tycho-Gaia Astrometric Solution (TGAS). Aims: In order to test these first parallax measurements of the primary standard candles of the cosmological distance ladder, which involve astrometry collected by Gaia during the initial 14 months of science operation, we compared them with literature estimates and derived new period-luminosity (PL), period-Wesenheit (PW) relations for classical and Type II Cepheids and infrared PL, PL-metallicity (PLZ), and optical luminosity-metallicity (MV-[Fe/H]) relations for the RR Lyrae stars, with zero points based on TGAS. Methods: Classical Cepheids were carefully selected in order to discard known or suspected binary systems. The final sample comprises 102 fundamental mode pulsators with periods ranging from 1.68 to 51.66 days (of which 33 with σϖ/ϖ< 0.5). The Type II Cepheids include a total of 26 W Virginis and BL Herculis stars spanning the period range from 1.16 to 30.00 days (of which only 7 with σϖ/ϖ< 0.5). The RR Lyrae stars include 200 sources with pulsation period ranging from 0.27 to 0.80 days (of which 112 with σϖ/ϖ< 0.5). The new relations were computed using multi-band (V,I,J,Ks) photometry and spectroscopic metal abundances available in the literature, and by applying three alternative approaches: (i) linear least-squares fitting of the absolute magnitudes inferred from direct transformation of the TGAS parallaxes; (ii) adopting astrometry-based luminosities; and (iii) using a Bayesian fitting approach. The last two methods work in parallax space where parallaxes are used directly, thus maintaining symmetrical errors and allowing negative parallaxes to be used. The TGAS-based PL,PW,PLZ, and MV- [Fe/H] relations are discussed by comparing the distance to the Large Magellanic Cloud provided by different types of pulsating stars and alternative fitting methods. Results: Good agreement is found from direct comparison of the parallaxes of RR Lyrae stars for which both TGAS and HST measurements are available. Similarly, very good agreement is found between the TGAS values and the parallaxes inferred from the absolute magnitudes of Cepheids and RR Lyrae stars analysed with the Baade-Wesselink method. TGAS values also compare favourably with the parallaxes inferred by theoretical model fitting of the multi-band light curves for two of the three classical Cepheids and one RR Lyrae star, which were analysed with this technique in our samples. The K-band PL relations show the significant improvement of the TGAS parallaxes for Cepheids and RR Lyrae stars with respect to the Hipparcos measurements. This is particularly true for the RR Lyrae stars for which improvement in quality and statistics is impressive. Conclusions: TGAS parallaxes bring a significant added value to the previous Hipparcos estimates. The relations presented in this paper represent the first Gaia-calibrated relations and form a work-in-progress milestone report in the wait for Gaia-only parallaxes of which a first solution will become available with Gaia Data Release 2 (DR2) in 2018. Full Tables A.1-A.3 are only available at the CDS via anonymous ftp to http://cdsarc.u-strasbg.fr (http://130.79.128.5) or via http://cdsarc.u-strasbg.fr/viz-bin/qcat?J/A+A/605/A79