You can find all three at these locations:
Uxie: Lake Acuity (found at Route 217)
Azelf: Lake Valor (found at Route 214)
Mesprit: Once you have visited Lake Verity (found at Route 201) and interacted with it there, it will be roaming Sinnoh.
Only Mesprit is roaming Sinnoh. You can find the other two in their respected caves.
Hope I helped. :)