They were found unresponsive in a swimming pool on Christmas Eve at Club La Costa World, near Fuengirola, a statement from the owners said.
It has been reported that a nine-year-old British girl got into difficulties in the water and her brother and father attempted to rescue her.
The Foreign Office said it was assisting a British woman in Spain.
It is understood the father and daughter were both British while the brother was American.
Hotel firm CLC World Resorts said first response teams and emergency services attended and administered first aid.
"Management at Club La Costa World resort would like to offer its heartfelt condolences to the family affected by the loss of three family members on 24th December 2019," the company said.
"The management are assisting the authorities fully with their investigation into the deaths.
"We would like to thank our first response team and the emergency services for their quick and appropriate responses, and our staff for the continuing support of the family at this difficult time."
A Foreign and Commonwealth Office spokesperson said: "We are offering assistance to a British woman following an incident in Spain." // <\/s'+'cript>'); // --> //]]> From ICE
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