Hundreds of migrants marched out of a Greek transit camp, hiked for hours along muddy paths and crossed a rain-swollen river to get around a border fence and cross into Macedonia, where they were detained on Monday, authorities said.
A Macedonian police spokeswoman said the "several hundred" migrants who had crossed into Macedonia would be sent back to Greece.
Earlier, Macedonian police said three migrants - two men and a woman - had drowned crossing a river near the Greek border that had been swollen by heavy rain.
The migrants crossed the border just days before leaders from the European Union and Turkey are due to meet again to seal an agreement intended to keep migrants in Turkey from moving to Europe through Greece.