Thailand's deputy prime minister, Prawit Wongsuwan, denied the three activists were in Thai custody, as has been reported by the Thai Alliance for Human Rights.
Chucheep Chiwasut, who broadcasts political commentary to Thailand from exile, and fellow activists Siam Theerawut and Kritsana Thapthai were reportedly turned over to Thai authorities by Vietnam on May 8, Human Rights Watch said in a statement.
"Vietnam's alleged secret forced return to Thailand of three prominent activists should set off alarm bells in the international community," Human Rights Watch Asia Director Brad Adams said.
London-based Amnesty International said Chucheep had long faced charges of lese majeste, or insulting the monarchy.
Siam and Kritsana were also under police investigation for lese majeste, the rights group said.
Article 112 of Thailand's criminal code says anyone who insults the king, queen, heir or regent faces punishment of up to 15 years in prison.
Human rights groups have accused Thailand's ruling military government of applying the lese majeste law more widely since a 2014 coup as a way to silence critics.
U.N. human rights officials in March wrote to the Thai foreign ministry to express "most serious concern" about disappearances of several prominent exiled critics of the regime.
Separately on Friday, a former law student was released from jail a month before the end of his two and half year sentence for a 2017 lese majeste conviction.
Jatupat Boonpattaraksa, an activist and critic of the ruling junta, was jailed for posting a profile of King Maha Vajiralongkorn published by the BBC's Thai-language service that was deemed offensive.
His release was part of a royal amnesty for thousands of prisoners to mark the king's May 4-6 coronation.
The U.S.-based Thai Alliance for Human Rights first reported that Chucheep, also known as Uncle Sanam Luang, had been sent back to Thailand.
"Uncle Sanam Luang and two others were apprehended ... a month ago. But they were just transferred to Thailand on May 8 from Vietnam," the alliance's Piangdin Rakthai said in a YouTube video.
Deputy Prime Minister Prawit denied the report.
"Vietnam has not coordinated transfers. We have not received any request. If there is, it would be through the foreign ministry and police," Prawit told reporters.
BODIES IN MEKONG
In January, the bodies of two exiled critics of the military and royal family, Chatcharn Buppawan, 56, and Kraidej Luelert, 46, were found in the Mekong River, which forms the border with Laos.
The bodies had been stuffed with concrete, apparently to make them sink.
The Thai military said it had no information about the bodies.
Activist Surachai Danwattananusorn, 78, who operated an online radio station critical of the junta and monarchy from Laos, disappeared in December. His whereabouts are not known.
All three of the men who disappeared from Laos had been active in the United Front for Democracy against Dictatorship (UDD) protests in 2010, which ended in a military crackdown that killed more than 90 people.
U.N. officials, in a March letter, noted that the junta issued arrest warrants for Surachai and Chatcharn a month after the army seized power in the 2014 coup.
"Given the active arrest warrants and their involvement with the UDD, it is believed Thai officials may be responsible for the killing of Mr Buppawan and Mr Luelert and the disappearance and possible killing of Mr Danwattananusorn," a group of top U.N. envoys said in the letter.
The latest disappearances from Vietnam have further rattled Thais in exile.
"We are worried about the situation," Piangdin said in his video.
"There have been disappearances and deaths of political activists who are against the military government and criticize the monarchy."Government officials in Vietnam could not be reached for comment.