Court documents identified two of the men, Ben Abdalla Ismail and Rachid Benimari, as French nationals. A third, Mustapha Bouyabaren, was said to be Belgian.
The men are believed to have arrived in Kenya from Somalia, where a brutal Islamist insurgency is raging.
The suspects pleaded guilty to being in Kenya illegally, while police officials said they were expected to be sent home where they are reported to face charges connected to terrorism.
"The foreigners were arrested following intelligence from our partners," said Njeru Mwaniki, Kenya's anti-terrorism police chief.
All three, as well as two Kenyans accused of hosting them, Hussein Omar and Ahmed Omar, were arrested Tuesday in the town of Malindi, a popular tourist resort on the Indian Ocean coast.
The Kenyans pleaded not guilty to supporting the foreigners.
A European diplomat said the foreigners were believed to have entered Kenya from Somalia, where al-Qaeda-linked Shebab insurgents are waging a bitter war against the troops of the internationally-backed government.
The European diplomat told AFP that Belgium has already issued an arrest warrant for one or more of the men.
It is not the first time Belgians have been suspected of fighting alongside Islamist groups in conflict-torn countries in recent years.
For the past several months, Belgian authorities have expressed concern over the departure of several dozen young Muslims to Syria, where they are reported to have joined Islamist militia forces.
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