This morning it emerged that two of the soldiers were serving with the 1st Battalion Welsh Guards and the other was serving with the Royal Corps of Signals.
They received first aid at the scene after the attack at 12.30pm GMT yesterday but died of their injuries.
The shootings happened on the day Afghan National Security Forces took the security lead in southern Afghanistan.
It has prompted renewed fears over the possible infiltration of the country’s security forces by insurgents.
The soldiers had been working in an Afghan Police Advisory Team. Their next-of-kin have been informed.
The incident happened at Checkpoint Kamparack Pul in Nahr-e-Saraj, where the soldiers were attending a shura, or meeting of elders.
They were shot at as they were leaving the checkpoint. The attacker was injured and detained and is currently in custody at Camp Bastion.
Major Ian Lawrence, spokesman for Task Force Helmand, said: ‘It is with deep regret that I must inform you that three soldiers, two serving with 1st Battalion Welsh Guards and one serving with the Royal Corps of Signals, have been killed in an incident at Check Point Kamparack Pul in the Nahr-e-Saraj district of Helmand Province.
‘Their loss will be felt deeply across Task Force Helmand. However, this will be nothing compared to the grief experienced by the soldiers’ families.
‘Our thoughts and prayers are with them at this extremely difficult time.’
NATO said in a statement that the man was wearing the uniform of an Afghan National Civil Order Police and that the incident was under investigation.
In a ceremony at Camp Hero in Kandahar Province, the International Security Assistance Force handed over responsibility to the Afghan National Security Forces, which includes the Afghan National Army, Afghan Uniformed Police, Afghan Border Police and Afghan National Civil Order Police.
The Regional Command (South) region, which includes Kandahar, Zabul, Uruzgan and Daykundi provinces, is the first area in Afghanistan where such a transition has taken place.
Major General Abdul Hamid, commander of the 205th Hero Corp, Afghan National Army, said of the move: ‘It wasn’t that long ago that we had no security forces. We started from scratch and today we have everything.’
The deaths bring the total number of members of UK forces to have died since operations in Afghanistan began in October 2001 to 422.
The attack appears to be the latest in a string of ‘green on blue’ attacks in which members of the Afghan security or police forces have opened fire on international allies.
Lance Corporal Lee Thomas Davies, 27, from the 1st Battalion Welsh Guards, and Corporal Brent John McCarthy, 25, of the Royal Air Force, were shot dead at a patrol base in the Lashkar Gar district of Helmand Province by members of the Afghan police force in May.
The servicemen had been providing security for a meeting with local officials when two people wearing Afghan police uniforms opened fire.
Sergeant Luke Taylor, 33, of the Royal Marines, and Lance Corporal Michael Foley, 25, of the Adjutant General’s Corps, were shot dead by a rogue Afghan soldier at the entrance to the UK headquarters in Lashkar Gar in Helmand Province in March.
Five British soldiers were killed by a rogue Afghan policeman in November 2009.
The gunman opened fire on the men in a military compound in Nad e-Ali before fleeing. The Taliban later claimed responsibility.
The deaths take the toll this year in “green-on-blue” incidents — in which Afghan forces turn their weapons against their Western allies — to at least 26, in a total of 18 such incidents.