The activists, Chucheep Chiwasut, who broadcasts political commentary online, and two colleagues, Siam Theerawut and Kritsana Tupthai, were arrested in Vietnam early this year and sent back to Thailand this week, according to rights groups.
The mother of Siam, 34, said he was last heard from a few months ago.
"He said he is fine, and talked about what he has eaten and places he has visited, but did not say where he was," Kanya Theerawut told AFP, adding she had visited police this week but was told there was no information available.
"I want to know where my son is," she said.
A senior official with Thailand's special branch police confirmed the three men were in Vietnam but had no information about the arrests.
Thailand's deputy prime minister denied they were in Thai custody on Friday.
Scores of dissidents, academics and pro-democracy activists have been pressed into self-exile since the junta seized power in a 2014 coup, in what analysts say is one of the biggest waves of political flight in Thailand's troubled recent history.
The majority fled to neighbouring Laos and Cambodia to avoid charges and jail terms.
But Chucheep, Siam and Kritsana moved from Laos following the disappearance of three other dissidents who had also sought shelter there.
Two of those men were found in late December in the Mekong river with concrete stuffed into their stomachs. The government has denied any responsibility.
Prosecutions under Thailand's lese-majeste law, which carries penalties of up to 15 years for insulting the wealthy monarchy, soared after the junta took over.
But activists say the military has also stepped up its pursuit abroad.
"The long arm of repression also reaches across the border as exiled dissidents have been pursued", said Sunai Phasuk, senior Thai expert for Human Rights Watch.
"Nowhere is safe."
Amnesty International has called on the Thai government to provide answers.
Lese-majeste prosecutions within the country have fallen since newly-crowned Thai King Maha Vajiralongkorn ascended the throne in 2016 following the death of his father Bhumibol Adulyadej.
On Friday a prominent pro-democracy activist who was sentenced to two and a half years in prison for sharing an unflattering BBC profile of the king on Facebook was freed in a royal pardon a little more than a month shy of his sentence ending.