The three recovered bodies were flown to a hospital in the capital Sanaa
Germany has "strongly condemned" the killing of two German nurses who were recently kidnapped in Yemen.
The bodies of the two women, along with that of a South Korean aid worker, have been flown to the capital Sanaa from Saada, a remote area in northern Yemen.
Yemeni officials say they are searching for six other foreigners in the group - including three children - who were kidnapped while picnicking on Friday.
There have been conflicting reports about what has happened to them.
"This is very sad news and we strongly condemn this crime," said German Chancellor Angela Merkel, in reference to the two German nurses.
They have been presumed dead by German officials although Yemeni authorities have not officially identified the bodies.
"The foreign ministry's crisis centre is trying to investigate the fate of the other hostages. So far there is no concrete information and it is important not to speculate," Mrs Merkel added.
Also on Tuesday, Seoul confirmed that a South Korean national had been murdered after being kidnapped in Yemen. Officials named her as Eom Young-Sun, 34.
A Yemeni government spokesman said on Tuesday that the whereabouts of the other six foreigners was unknown.
The group comprised seven Germans - including a family of five - a British national and a South Korean woman. The kidnapped adults all worked at a hospital in Saada, the state news agency said.
Yemen's interior ministry earlier said they had been kidnapped while on a picnic on Friday in the area.
Shepherds found the three bodies on Monday morning in the mountainous northern Saada province near the town of el-Nashour, according to local officials.
There is confusion about the fate of the missing hostages. One unconfirmed report on Monday said all nine hostages were dead, while another report - also unconfirmed - quoted officials saying two children had been found alive.
More than 200 foreign nationals have been kidnapped in Yemen in the last 15 years, often for ransom. But most have been released unharmed.
No-one has claimed responsibility for the kidnapping.
The Yemeni government blamed a local Shia rebel group, led by Abdulmalik al-Houthi, for the kidnapping, but it has denied any involvement.
The group has fought a sporadic insurgency in the Zaidi Shia heartland between Sanaa and the border with Saudi Arabia.
A local tribal leader in the area, speaking anonymously to the Associated Press news agency, blamed al-Qaeda.
Al-Qaeda is known to have operated in the area, and analysts say it may be regrouping in Yemen after coming under pressure in Saudi Arabia and Pakistan.
CIA Director Leon Panetta said last week that Somalia and Yemen may have become safe havens for the group.
Yemeni authorities said on Sunday they had arrested Hassan Hussein Bin Alwan, described as al-Qaeda's financier in the region and one of its "most dangerous members".