The three individuals were detained on Tuesday as part of an EU fraud investigation and have been released while the investigation is ongoing, EPPO said, adding they were not considered a flight risk.
EPPO referred to the other two suspects as a senior staff member at the College of Europe in Bruges and a senior official from the European Commission.
Three sources told Reuters that one of the detainees was senior EU diplomat Stefano Sannino.
Neither Mogherini nor Sannino could be reached for comment.
"All persons are presumed innocent until proven guilty by the competent Belgian courts of law," EPPO also said.
Their arrests followed raids at the EU's diplomatic service in Brussels, at the College of Europe - an elite university in Bruges that educates many EU officials - and at the houses of suspects.
Mogherini, a former Italian foreign minister, was the EU's high representative for foreign and security policy and head of its diplomatic service from 2014 to 2019.
She became rector of the College of Europe in 2020.
According to EPPO, the investigation concerns "suspected fraud related to EU-funded training for junior diplomats".
Mogherini and Sannino, both Italian citizens, are well known in Brussels diplomatic circles, and news of their detentions sent shockwaves through the EU community.
In a letter sent to the staff of the EU's diplomatic service on Wednesday and seen by Reuters, EU foreign policy chief Kaja Kallas said "the allegations are deeply shocking but should in no way tarnish the good work that the vast majority of you are doing every day".
"Please rest assured that we are fully co-operating with the investigation and providing complete transparency," she said, adding that "I would like to reiterate my confidence in the authorities that due process is observed and that the presumption of innocence is maintained".
