Police deputy inspector general Bakri Zinin said the trio, aged between 29 and 31, were arrested during an anti-terror swoop in the town of Sandakan in Sabah state on Borneo island.
"There is an element of terrorism involved," Bakri told AFP, adding that all three were Malaysian citizens.
"One of them was trained in a neighbouring country and had plans to go somewhere else (to fight)," he added.
Bakri said the suspected senior member of a militant wing had received armed training at camp run by Al-Qaeda-linked Abu Sayyaf rebels in the southern Philippines since April 22.
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The senior police official said the two other detainees were the navy staff member and another man who helped the militant leader to enter Malaysia.
Bakri said the latest arrests were linked to an earlier case in April, when police arrested 11 people suspected to be involved in Islamic militant activities under the guise of humanitarian work.
Those militants had intended to send fighters to Syria, police said.
Abu Sayyaf is a self-styled Islamic militant group which was set up in the 1990s with seed money from the late Osama bin Laden's Al-Qaeda network, and has been blamed for the worst terror attacks in the Philippines' history, including bombings.
The new arrests come weeks after Malaysian police foiled a plot to attack foreign missions in two Indian cities and arrested a South Asian terror suspect.
Police are also investigation whether Al-Qaeda-linked Somali rebels were seeking to set up a base in the Southeast Asian country after a suspected insurgent was arrested.