Attorney General Rodolfo Rios said a woman and two waiters at the Heavens After bar had been detained, but he did not identify them, CNN reported Wednesday.
Officials did not say what charges the three face. The link between the woman and the waiters wasn't known.
Relatives of the missing charge they were kidnapped from the bar during the morning of May 26, but police had said there was no evidence the people had been there. On Tuesday, Rios confirmed the missing people had been at the club.
There is no evidence of the people being abducted by an armed convoy, Rios said, but "there is evidence that the majority of the youths arrived at Heaven in two vehicles, one private and a taxi, but it is unknown how they left."
Eleven people had initially been reported as missing, but Rios said the number was increased to 12 after another family member came forward.
Most of those who disappeared came from the city's tough Tepito neighborhood, officials said, but not all of them knew each other.