The boys were students of Brihanmumbai Municipal Corporation-run (BMC) Unal Mill School in Dharavi and residents of the same area, police said.
The incident occurred around 11.35 am, when they had come to play at Shivaji Park in central Mumbai, an official said.
The names of the deceased have been given as Bharat Hanumanta (13), Anup Yadav (16) and Rohit Yadav (15).
While playing on the shore one of them ventured into the sea to wash his clothes which had become dirty due to the sand, an official said.
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Some onlookers alerted the police and fire brigade about the incident, after which the rescue operations began, he said.
"Fire brigade and police have recovered bodies of all the three students," Milind Idekar, senior police inspector of Mahim Police Station told PTI.
Body of Bharat was sent to Bhabha hospital in Bandra for post-mortem, while those of other two was sent to KEM hospital in Parel, he said.