The Russians were sent back to Istanbul where they had come from, while the Serbian was returned home, said a statement carried by the Fena news agency.
"Border police did not allow entry to Bosnia and Herzegovina to three persons, because (they) represent a threat to security, public order... And Bosnia's international relations," said a statement.
Security in Sarajevo was stepped up Wednesday ahead the arrival of heads of governments of the region, notably Serbian Prime Minister Aleksandar Vucic.
However, Vucic, an ultra-nationalist-turned-pro-European, said he was coming to Sarajevo "without fear."
The Western Balkan premiers are meeting as the volatile region is facing deep political crisis in several countries.
Last month NATO said that it was "very closely" monitoring the "increased" influence of Russia, a traditional ally of Serbia and Bosnian Serbs, notably in Montenegro.
A soon-to-be NATO member Montenegro is seeking two Russian citizens over an alleged coup d'etat plot ahead of October parliamentary elections there. Russia was accused of being behind the foiled coup.
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