The 'Game of Thrones' trio are said to have forked out on the $225 entry fee each to put themselves up, and all three received nods.
According to The Hollywood Reporter, HBO has confirmed the channel did not enter Alfie - who played Theon Greyjoy - Gwendoline (Brienne of Tarth) and Carice (Melisandre) for consideration.
But Alfie was nominated in the Best Supporting Actor in a Drama Series category - alongside the likes of co-stars Nikolaj Coster-Waldau and Peter Dinklage - and Gwendoline is up for the Best Supporting Actress version.
Carice received a nod for Best Guest Actress in a Drama Series.
Their nominations were among a record-breaking haul of 32 for 'Game of Thrones', which concluded this May after eight years on screen.
What's more, Sophie Turner, Maisie Williams, Lena Headey will do battle with Gwendoline in the Best Supporting Actress in a Drama category, which the show dominates. Killing Eve's Fiona Shaw and Ozark's Julia Garner were the other two given nods in the category.
While 'Game of Thrones' is no stranger to winning Emmy awards - having won 47 in the past - this is the first time in TV history that any show has secured that many nominations in a single year.
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