All the three children, aged between 10 and 16 years were residents of neighbouring Moti Desai and Padle Pada area, Shil-Daighar police station inspector K D Katkar said.
According to complaint filed parents of one of the children, the three families resided in the same locality and the children went missing from May 20 afternoon.
A case has been registered in this regard under IPC section 363 (kidnapping) and efforts are on to search the children.