WASHINGTON (CNN) -- Three of the 11 Egyptian students who failed to show up at a Montana university last month were taken into custody Wednesday.
The FBI on Saturday issued a nationwide alert to law enforcement agencies. Included were the students' names, ages, passport numbers and photographs.
"At the present time there are no known associations to any terrorist groups. Approach with caution," the lookout bulletin said. (Watch Homeland Security work on the mystery -- 2:22)
Mohamed Ragab Mohamed Abd Alla and Ebrahim Mabrouk Moustafa Abdou, both 22, turned themselves in to police in Manville, New Jersey, after seeing news reports that federal agents were looking for them, a law enforcement source said.
The two men showed up at the police station and asked why they were being sought, the source said.
Sam Aboelata, the owner of a Manville restaurant, said Abdou and Abd Alla were given his number after getting lost and calling their parents. They were distressed and crying when they arrived at his eatery, he said.
Aboelata dropped Abdou and Abd Alla off at Manville police headquarters, said Police Chief Mark Peltack.
Eslam Ibrahim Mohamed El-Dessouki, 21, was arrested without incident about 11 a.m. (noon ET) in Minneapolis, Minnesota, according to a statement from FBI Special Agent Richard Kolko.
"El-Dessouki was taken into custody on an administrative immigration violation as an out-of-status student," Kolko said.
El-Dessouki "was located through source information," a federal law enforcement official said.
Authorities gave no indication what he was doing in Minnesota, but a family member said El-Dessouki went to visit relatives and that he wanted to go to school there.
"Preliminary investigation has not identified any credible or imminent threat posed by El-Dessouki or the other missing Egyptian students," Kolko said.
The search continues for the eight remaining Egyptian students, authorities said.
Federal authorities began thoroughly tracking international students after learning that one of the 9/11 hijackers was in the country on an expired student visa.
FBI and immigration officials confirmed there's no evidence pointing to criminal activity or a terrorist threat. However, The Associated Press quoted a law enforcement official as saying that the students could be sent home when found because they violated the terms of their visas.
They were part of an all-male group of 17 students that landed July 29 at New York's John F. Kennedy International Airport. Six of them arrived later at Montana State University in Bozeman as part of an exchange program; the other 11 did not, prompting school officials to contact the government.
A source with knowledge of the investigation said the men, who range in age from 17 to 22, may be staying in New York, visiting relatives and trying to find jobs.
"We have run their names through the wringer," a Department of Homeland Security official said.
U.S. authorities are working with foreign intelligence agencies to make sure there is nothing suspicious in the students' backgrounds, federal sources said. Those sources added that 20 students applied for student visas to go to Montana State, but three applicants were denied.
"We do want to talk to them. But at this point there's no reason to believe they pose any criminal or terrorist threat," said Assistant Homeland Security Secretary Julie Myers, who heads Immigration and Customs Enforcement.
