The 36-foot motorboat burst into flames around 2 p.m. near Southampton, on its way to Montauk.
The boat was fully engulfed in flames by the time a Coast Guard rescue vessel arrived at the site eight minutes later about one mile east of the Shinnecock Inlet.
It eventually sank, but the passengers managed to get into a life raft before rescue crews arrived.
The three people were taken to the hospital with mild cases of hypothermia.
There is no word on what caused the fire, and the investigation is ongoing.