Just thought I'd pre-emptively get this question on here :) (Note: possible spoilers ahead)
OK so I went into a cave on the cliffs just below the Sangi Ranch. Professor Juniper was there. Mesprit, Azelf and Uxie appeared then left the cave. Juniper said a bunch of stuff (since this is the Japanese version I didn't understand it of course).
Where did they go? Are they roaming Unova now? (God I hope not)
>(Japanese: 心の空洞 Heart Cave) is a cavern located on Route 20. After beating the Champion, Professor Juniper can be found inside. If she is spoken to, Uxie, Mesprit and Azelf will appear and then scatter across the Unova region. It is described as being connected to Sinnoh.
They scatter to different places in Unova and stay there until caught.
Azelf - Route 23
Mesprit - Celestial Tower
Uxie - Nacrene City
You can find them on 1) Victory road way left using Cut, Strength, and Surf.
2) Nacrene city in front of the old gym/museum
3) At the top of Celestial tower but be aware there will be about 3-4 trainers towards the base of each set of stairs who you HAVE to beat.