Police Minister Nathi Mthethwa and civil rights body AfriForum commended the officers who made the arrest.
The minister said: "Their dedication towards the safe-keeping of our society is a shining example of the kind of officers we expect, and are working towards sustaining."
AfriForum spokesperson Nantes Kelder said it was crucial for criminals to know they would not get away.
Three Zimbabwean men were arrested in the morning at Oukasie informal settlement, near Brits, in the North West.
Police spokesperson Brigadier Thulani Ngubane said police received a tip-off, which led to the arrest of three men at about 10:00.
They recovered property believed to have been stolen during the robbery in which Sanders was shot on Saturday.
The three men - two aged 20 and the other 19 - were Zimbabweans.
They would appear in Brits Magistrate's Court on Monday.
Sanders was at the Thatch Haven Country Lodge, in Brits, when armed robbers entered and began firing shots at random.
He was hit in the hand and abdomen, and died in the Kalafong Hospital on Sunday.
Sanders won the World Boxing Organisation's heavyweight title in March 2003, dropping Ukrainian Wladimir Klitschko in the second round in Hanover, Germany.
He retired five years later.