The MEPs, who were elected to the European parliament in May, include Jacob Rees-Mogg’s sister, Annunziata, said: “We need a strong Leave-supporting government to deliver the Brexit 17.4 million voted for.”
“The Conservatives are the only option for Brexit supporters and democrats alike,” she added.
Lance Forman, who represents London, and Lucy Harris, who represents Yorkshire & Humber, also stepped down.
Reacting to the decision, Mr Farage said he was “disappointed”, but added they “don’t seem to understand that we saved the Conservative Party from large-scale losses” by standing down candidates in the southwest of England.
“We are also hammering the Labour Leave vote in traditional heartlands making it much easier for the Conservatives to win many of those seats,” he added.
He later suggested that some of those who had quit had long-standing loyalties to the Tories.
In an interview with the BBC’s Andrew Neil, he said: “One of them is the sister of a cabinet minister, another one has a boyfriend working for that cabinet minister, and another one [Forman] is a personal friend of Boris Johnson’s.
“They joined the Brexit Party, they joined the coalition that I put together. Now they clearly were disaffected with Mrs May as leader and we’re not the Conservative Party.”
It follows the decision on Wednesday to sack a fourth MEP, John Longworth, for “repeatedly undermining” Mr Farage’s election strategy.
Mr Longworth, who left his role at the chamber in 2016 after coming out in favour of leaving the European Union three months before the EU referendum, had been critical of Mr Farage’s decision to stand Brexit Party candidates in Labour marginals.
Speaking before a press conference in Westminster on Thursday, he said: “For those who want Brexit, Boris Johnson’s deal is the only option available. Labour does not have a plan.”
A Brexit Party spokesman said: “John Longworth was for years the firmest advocate of WTO withdrawal that we have ever met, he underwent a metamorphosis into being a supporter of the new EU treaty following two days of meetings in London. We hope that Mr Longworth is well rewarded for his actions.”
The Brexit Party MEP and former adviser to Mr Farage, Michael Heaver, said: “Brexit Party put country first by standing down in Tory-held seats. We are fully focused on hammering Corbyn’s Labour and taking the fight to Remainer MPs. Keep calm and carry on.”