I think it's said clearly at least in the Silmarillion, and in LOTR(or at least in one of the appendixes)
One was given to Galadriel, yep. Other was given to Gil-Galad, who gave it to Elrond when he marched to war. The third, the Ring of Fire, Narya, was given to Círdan the Shipwright, who dwelt in the Grey Havens. When the istari arrived, he gave it to Gandalf, and it's also mentioned in the last chapter of LOTR.
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"Out of doubt, out of dark to the day's rising I came singing in the sun, sword unsheathing. To hope's end I rode and to heart's breaking: Now for wrath, now for ruin and a red nightfall!"
~Eomer
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