Parties are forbidden under coronavirus restrictions in Italy. There is also a nightly curfew in place in the country between 10 p.m. and 5 a.m.
Police were reportedly alerted by neighbors and arrived at McKennie's house at around 11:30 p.m.
The trio will be fined and will also face sanctions from Juventus. McKennie, who is the first American to play for Juventus, joined the team in August.
The 22-year-old midfielder has scored four goals in 24 Serie A appearances for Juventus. He also scored in a Champions League win at Barcelona.
Juventus says Bonucci is now isolating at his home in Turin. He was tested Thursday morning.
Four members of the Italy staff tested positive for COVID-19 earlier this week.
Bonucci is the second Juventus player to contract the virus while on international duty as fellow defender Merih Demiral tested positive when he was with the Turkish national team.