Police tracked down the suspects after a robbery at a supermarket Friday night.
A 57-year-old man was shot in the foot after he tried to stop one of the armed assailants.
Police reported to the scene and arrested the alleged robber and his getaway driver, Ekathimerini reported.
The arrest led authorities to the two other detainees, and police are searching for a fifth suspect.
The soldiers, who have not been identified, served at a local army camp, police said.
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