The incident occurred at Kalher village in Thane district. The deceased were identified as Dileep Amar Maji (7), Ruby Amar Maji (5) and Raj Vinodsingh Soni (6), they said.
"The incident occurred yesterday when the children while playing near their house sneaked in one of the new cars parked at a godown nearby and could not come out", Assistant Inspector of Narpoli police station Vijay Malshe told PTI.
The godown is located in the vicinity of the place of residence of the deceased, where new cars meant for delivery are parked in the open ground, he said.
Police said parents of the children lodged a complaint last night after their search to trace their wards proved futile, following which a team was dispatched to trace the missing kids.
The police team, on the information that the children were seen entering the storehouse, then started checking the place thoroughly and found the trio in one of the cars in the wee hours.
A case of accidental death has been registered in this regard and the bodies were sent for postmortem, police said, adding further investigations are on.