The trio were roped together and climbing at about 3,600m altitude when they fell around 300 metres, Graubünden police said in a statement.
Several people witnessed the fall and called air rescue service Rega, but the trio were already dead when rescuers arrived.
Due to the risk of falling rocks, their bodies were not taken off the mountain until Friday morning, said police.
The accident occurred just a day after another person died on the Piz Bernina.
The 32-year-old German was hiking with a group when she fell around 600 metres just after 7am on Wednesday morning, police said.