The bodies were found floating around 2km away from the Gopalpur Port, a senior police officer said.
"About 16 students of two private colleges in Berhampur town had gone to the seas after Holi celebrations on Friday. Of them, four went missing," the officer said.
The local people immediately alerted the police and managed to rescue one the students with the help of fishermen, he said.
Later on Friday, a team of Odisha Disaster Rapid Action Force personnel fished out one of the bodies, even as two others remained missing.