An EU civil servant and an assistant to a European Parliament member were among those under arrest, a spokesman for the Brussels public prosecutor said.
The three were arrested as part of a multi-million euro case over suspected fraud involving EU building tenders.
On Tuesday, European police raided the European Commission and Parliament.
The public prosecutor in Brussels, Jos Colpin, said the situation seemed to be "a very big case of corruption".
The names of the three Italians were not made public.
The three individuals - who also include a company director - were suspected of defrauding European taxpayers of the money over a decade.
The investigation over the awarding of tenders for EU buildings was launched three years ago.
"The investigation involves suspected bribery of European civil servants, forming a criminal organisation, violating professional secrecy, breaches of public tender laws and forgery," a spokesman for the prosecutor said on Tuesday.
Italian Carabinieri, French financial police and Belgian fraud squad officers were all said to be co-operating with the case.
I could not resist posting this from the BBC news site. EU building tenders!