The Metropolitan Police said the group were stopped under the Terrorism Act 2000 and arrested under the Police and Criminal Evidence Act 1984.
The investigation is being led by the Met's Counter Terrorism Command.
A 39-year-old man, a 35-year-old man and a 41-year-old man remain in custody at a south London police station.
A 35-year-old woman has been bailed to a date in early November, pending further inquiries.
Membership of a proscribed organisation is contrary to section 11 of the Terrorism Act 2000.