The three belong to a criminal gang in the north-western state of Sinaloa, police said.
They confessed to killing the two tourists when the pair fought back during an attempted robbery.
Forensic experts are carrying out DNA tests to confirm the identity of the two charred bodies found in the Australians' burnt-out van.
Two other men who took part in the killings are still at large, prosecutors said.
The three men detained have been identified as Julio Cesar Muniz, accused of leading a local drug trafficking gang, Martin Rogelio Munoz and Sergio Simon Benitez.
They said they shot two foreign tourists and set fire to the bodies and the van.
Adam Coleman and Dean Lucas, both 33, were last seen alive in the night of 20 November in the town of Topolobampo.
The burn-out vehicle found on a road in Sinaloa last month was the white Canadian van that belonged to Mr Coleman, Sinaloa Prosecutor Marco Antonio Higuera confirmed.
They were living in Edmonton, Canada and had driven down to Mexico for a surfing trip.
Sinaloa state has been plagued by violence in recent decades, much of it linked to drug cartels battling to control the illegal drugs trade from South America to the United States.
Police in Mexico say they have arrested three men for the murder of two Australian surfers.