The arrested trio, including a lawyer, would be produced in a court at Wadgaon in Maval taluka, police said.
According to sources, the arrested lawyer Vijay Dabhade had an enmity with the activist.
Shetty, who was a prominent RTI activist in Maharashtra, had exposed many land scams in the Maval region. He had lodged complaints against Dabhade in the past for attacking him, the sources added.
Two others held in the case include Pramod Waghmore and Parshuram Telgu.
The social activist was killed on Wednesday, Jan 13 by unidentified assailants. The masked assailants attacked Shetty with swords from behind while he was on his morning walk. The activist died on the spot.
The Bombay High Court on Thursday, Jan 14, took note of the incident which would increase the threat perception among the social activists and asked the state government and director general of police to file affidavits regarding investigation into the attack within a week.
In memory of the activist who worked closely with anti-corruption crusader Anna Hazare, several social organisations held a candlelight vigil on Friday, Jan 15 night.