Prosecutors in the state of Sonora allege the suspects belong to the cult of La Santa Muerte, or Holy Death.
A spokesman said the victims' blood appeared to have been poured round an altar to the idol, which is portrayed as a skeleton holding a scythe.
The cult, which reveres death, has been growing rapidly in Mexico.
Jose Larrinaga, spokesman for Sonora state prosecutors, said the most recent killing was earlier this month, while the other two were committed in 2009 and 2010.
Their bodies were found at the altar site in the small mining community of Nacozari, some 70 miles (110km) south of Douglas, Arizona.
Investigations were launched after the family of 10-year-old Jesus Octavio Martinez Yanez reported him missing early this month.
Mr Larrinaga said the murders took place at a ritual during the night, lit by candles.
"They sliced open the victims' veins and, while they were still alive, they waited for them to bleed to death and collected the blood in a container," he said.
There have been no confirmed killings previously attributed to the cult, which follows a mix of Catholic faith with indigenous and pagan beliefs.
Many of those arrested belonged to the same family, reports said.
Silvia Meraz, one of the suspects, and her son, Ramon Palacios, were allegedly leaders of the cult, according to prosecutors.
Speaking to reporters, she said: "We all agreed to do it. Supposedly she [one of the victims] was a witch or something."
She did not comment on the other killings.
