Police obtained a court order to detain them for four days while they're investigated for indecent behavior, said Sabah state police chief Jalaluddin Abdul Rahman.
Two Canadian siblings and a Dutch male surrendered themselves at a police station in Sabah last evening, he said.
A British woman was detained at a Sabah airport earlier Tuesday while trying to fly to Kuala Lumpur.
Malaysia's Foreign Affairs Ministry earlier identified the siblings to The Canadian Press news agency as Lindsey Petersen and Danielle Petersen.
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A magnitude-5.9 earthquake on Friday sent rocks and boulders raining down the trekking routes on the 4,095-meter-high (13,453-foot-high) mountain in Sabah on Borneo island, killing 18 climbers.
The victims were nine Singaporeans, six Malaysians and a Filipino, a Chinese and a Japanese national.
The quake damaged roads and buildings, including schools and a hospital on Sabah's west coast. It also broke one of the twin rock formations on the mountain known as the "Donkey's Ears."
Sabah Deputy Chief Minister Joseph Pairin Kitingan has blamed the tragedy on the foreigners for showing "disrespect to the sacred mountain" by posing naked at the peak. He has said a special ritual will be conducted to "appease the mountain spirit.