Police were called to search for the three men near Korsberga, Vetlanda, in Småland county just after 7pm on Tuesday after they had not returned from their day trip to Lake Hjärtasjön.
Rescue helicopter, police and ambulance all took part in the emergency operation.
One of the men was found in the water at around 7.30pm and the other two an hour later.
All three, in their 20s, 30s and 60s, were taken to hospital with serious hypothermia.
Early on Wednesday morning police confirmed they had died, despite repeated attempts to revive them.
A map of where the accident happened:
Changing weather this winter have made the icy lakes treacherous and anyone going out on the ice is advised to make sure it is at least ten centimetres thick, or 15 centimetres if you're on a snowmobile.
Last year 20 people died in Sweden after falling through the ice, 16 people more than in the previous year, according to the Swedish Life Saving Society (Svenska livräddningssällskapet).
WATCH BELOW: Five tips for staying safe on the ice