Two women, aged 29 and 30, and one 31-year-old man, all from South Yorkshire, were detained by officers in Skegness on Saturday and are being questioned by police.
Officers said the 52-year-old, from Nottinghamshire, was involved in an altercation in or near the Buzz Bar on Sea Lane, Ingoldmells.
The woman, who has not been named, died in hospital after the fight on Friday night.
Police were called at 11.25pm and the victim was given first aid at the scene.
DCI Hayley Williams said: “We’re carrying out a number of lines of inquiry in relation to this lady’s death and I’d really like to hear from anyone who was in the bar around 11.30pm and may have seen a fight take place either inside or outside of Buzz Bar last night.
“We’ve spoken to a number of witnesses and even if you didn’t directly see anything you may have some information that could help us.
“I’m also keen to track down any dashcam footage that motorists might have that was captured in the area.
“If you have any please contact us as soon as possible.”
Anyone with any information is asked to contact Lincolnshire Police by calling 101 or emailing email@example.com and quoting the reference number 20/07/2018. Alternatively, call the charity Crimestoppers anonymously on 0800 555 111.