An AFP reporter saw the three prisoners after they landed at a terminal normally reserved for royals at the Riyadh international airport.
The relatives of one inmate were waiting for his arrival.
They identified him as Mohammed Bawazir, a Yemeni, and said he had been held for 16 years at the US facility in Cuba.
The three were among 59 prisoners remaining at the detention centre in Cuba.
On Tuesday, Trump tweeted: "There should be no further releases from Gitmo. These are extremely dangerous people and should not be allowed back onto the battlefield."