The incident occurred when they were returning home after giving lunch to their parents, who were working at a farmer's field, DSP-City Gurmit Singh said.
The deceased have been identified as Raja (12), Gauri(7) and Shoba (3), police said.
On the way to home, they fell into a eight-feet deep pond while crossing it, he said.
Their sister, who was waiting for them at the house, became worried after they did not return. She spotted the bodies floating in the pond, the DSP said.
The victims father Joginder Rishi Dev from Bihar's Dabai village, had come to Alaudipur around six months ago for work, he said.