The three Muslim officers were returning from evening prayers when they were attacked yesterday night in Krong Pinang district in Yala province, police said.
"It's the work of militants who want to incite further unrest," Yala deputy police commander Colonel Banlue Chuwet told AFP by telephone.
An imam was shot in the leg in the same attack, he added.
More than 6,000 people have been killed in near-daily bombings and shootings in the Muslim-majority region near Thailand's southern border with Malaysia since 2004.
The rebels want a level of autonomy, accusing Thai authorities of disrespecting their Malay culture and language, and of carrying out human rights abuses.
Peace talks between some rebel factions and the Thai authorities stalled as a political crisis erupted in Bangkok last year, culminating in a military coup in May.