The chapel was built by Italian prisoners of war during World War Two, and has since become a tourist attraction. Police believe the artefacts - marked with the Roman numerals IV, VI and X - were taken in the middle of the first week of August.
They were among 14 gifted in 1964 by the chapel's creator Domenico Chiocchetti.
His eldest daughter Letizia has offered to help find replacements to match the remaining 11 wooden works depicting the "Stations of the Cross."
The group's secretary said: "She has remained a friend of Orkney and she has been distressed to hear the plaques had gone missing."