Another 19 Afghans who tried to cross with them were taken to a nearby reception centre by Macedonian authorities and four, who were injured, were taken to hospital, said Natalija Spirova Kordic, a spokeswoman for the interior ministry.
The spokeswoman said among the three who drowned were a pregnant woman, her teenage sister, and one man. Earlier she had said the victims were two men and one woman.
"Three migrants from Afghanistan drowned in the waters of the Suva Reka at about 3:30 AM after illegally crossing the Macedonian-Greek border near village of Moin," said a statement from Macedonia's crisis management centre.
Later today, about 1,000 of them set off on foot towards Macedonia in search of an alternative route into the country, an AFP reporter saw, adding that the group was quickly surrounded by Greek police.
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The group marched from the Idomeni camp to the nearby village of Chamilo, close to the sealed frontier with Macedonia.
There was no immediate sign of any police across the border.
The deaths came after several days of heavy rain in the border area which has led officials to instigate anti-flooding measures.