The other finalists are two Iranian opposition figures - Nasrin Sotoudeh, a lawyer, and movie director Jafar Panahi – as well as the imprisoned Belarusian human rights defender, Ales Belyatsky.
Nadezhda Tolokonnikova, Maria Alyokhina and Ekaterina Samutsevich, who were sentenced to two years in prison for their "punk prayer" in Moscow's Christ the Savior cathedral in February, received the "For freedom of thought" nomination from German parliament member Werner Schulz in September.
The winner of the EU's main human rights prize will be announced in Strasbourg on December 12.
The Sakharov Prize, which comes with a 50,000 euro award, is given to individuals and organizations who have made a special contribution to the protection of human rights.
Nelson Mandela and Soviet dissident Anatoly Marchenko, who died in prison in 1986, were the first to be awarded the prize in 1988.