The incident took place last evening near Chhonda village under Panihar police station in the district, Gwalior Superintendent of Police Ashish said.
The trio drowned in an 80-feet deep mine filled with water while immersing the idol, he said.
The mine, located on the village's outskirts, was out of use and lying abandoned, the police officer said.
The deceased were identified as Karan (15), Dileep (16) both brothers, and one Satyaveer (14), he said.