Counter-terrorism officers took the trio, ages 21, 24 and 28, into custody on suspicion of conspiracy to commit murder, the BBC reported.
Police said the arrests were made at two locations in southeast London. The 21-year-old and 28-year-old suspects were shot with stun guns but didn't require hospitalization, police said in a statement.
Search warrants were being carried out at four other residences Saturday night, the statement said.
Two alleged assailants -- Michael Adebolajo, 28, and Michael Adebowale, 22, -- who were arrested at the scene of the Wednesday killing of Lee Rigby remained hospitalized in stable condition, network said. A 29-year-old man arrested on a conspiracy charge Thursday was free on bail, while two women, ages 29 and 31, also taken into custody Thursday, were released without charge Friday.
The latest arrests came as about 2,000 protesters chanted and waved flags in Newcastle. The far-right English Defense League, which opposes Britain's immigration policy, organized the rally.
EDL head Tommy Robinson said told CNN, "We cannot allow this soldier's death to be in vain."
The rally was mostly peaceful, though police said some bottles were thrown when protesters came into contact with members of a smaller counter-protest. No injuries were reported though a handful of people were arrested, mostly for alcohol-related offenses, police said.
Adebolajo and Adebowale, who allegedly espoused Islamist motives for the attack, are accused of running over Rigby with a vehicle, and attacking him with knives and a meat cleaver in the Woolwich section of London.
Adebolajo had been offered a job by a British intelligence service six months before, a friend said. Abu Nusaybah said Adebolajo had rejected the offer from MI5, the agency in charge of domestic security, the BBC reported. Nusaybah said Adebolajo had underdone "a change" after he was detained by security forces during a trip to Kenya last year.
Adebolajo suggested he had been physically and sexually abused during an interrogation there.
After that, Nusaybah said, his friend became withdrawn and "wasn't his bubbly self."
After returning from Kenya, Adebolajo said he was "basically being harassed" by MI5, who wanted to know if he knew certain people, Nusaybah said.
When Adebolajo said he didn't know any of them, MI5 asked if he wanted to work for them, the friend said.