They were guarding a well in Karma, North Darfur state, when they were attacked by gunmen, who fled afterwards, the United Nations-African Union Mission in Darfur said.
Two of them were killed in the attack and the third, gravely wounded, died later.
UNAMID was deployed in late 2007 to help end bloodshed among militias, rebel forces and gangs in Darfur.
In New York, UN chief Ban Ki-moon said "this has been a bloody October for UN peacekeeping.
A wave of attacks in northern Mali has killed 31 peacekeepers since July 2013, while a Pakistani serving in the Central African Republic was killed in an ambush last week.
Ten UN peacekeepers have been injured in Bangui since Friday in attacks on their patrols.
"Blue helmets must be allowed to undertake their life-saving work without interference," Ban told reporters at UN headquarters in New York.
The UN's 130,000 troops, police and civilian staff serving in missions worldwide are being drawn into more complex conflicts while being tasked with enforcing fragile peace deals.
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