Apart from the trio, country's only Formula One driver Narain Karthikeyan, hockey player Ignace Tirkey and cricket coach Ramakant Achrekar -- whose notable pupils include Sachin Tendulkar and Vinod Kambli -- were also selected for the award.
Incidentally, wrestler Sushil Kumar is the only Beijing Olympic medallist to miss out on a Padma award.
While Vijender -- who won bronze in Beijing -- won it this year, Olympic gold medallist shooter Abhinav Bindra had been awarded the Padma Bhushan award last year.
Talking to PTI, Vijender, who is leaving for exhibition bouts in China, said he expected the honour earlier but had no issues with it coming late.
"Better late than never. Every time I go out for a tour, I get a good news. I got a call this morning from the Ministry and told my parents and coaches about it," he said.
"I'm happy and would celebrate when I return from China," added the Haryana boxer.
Saina, on her part, said country's highest civilian awards would goad her to greater glory.
"I would like to dedicate this achievement to my parents and coaches who have helped me a lot to improve my game," Saina said.
"It's really a big honour, which also comes with a lot more responsibilities. It will certainly give me a lot of encouragement. I am very happy," said the shuttler from Hyderabad.
"Padma Shri" awards are given for distinguished service in any field and are announced on the occasion of Republic Day every year.
The awards are conferred by the President of India at a function held at Rashtrapati Bhavan in March-April.
The 31-year-old Sehwag is considered arguably the most devastating opener in contemporary cricket with more than 13000 international runs under his belt. The Delhi player got the Arjuna award in 2002.
Vijender has been the face of Indian boxing since he won the bronze in Beijing.
The Haryana hunk became the top ranked boxer in the middleweight category last year and was awarded Rajiv Gandhi Khel Ratna award, country's highest sporting honour last year.
Like Vijender, the 20-year-old Saina too had changed the face of the game she plays in the country.
The Olympic Games quarterfinalist last year became the first Indian to win a Super Series tournament when she lifted the Indonesia Open.
Coimbatore-born Narain Karthikeyan also boasts of an illustrious career, being the first Indian Formula One driver even though he was plying his trade in A1 GP of late.
Ignace Tirkey is the lone hockey player in the list and the award is a recognition of the midfilder's contribution to Indian hockey.
Ramakant Achrekar is the only coach to get the award. the 78-year-old legendary coach, who runs an academy in the Shivaji Park area in Mumbai, has produced players like Tendulkar, Kambli, Pravin Amre, Ajit Agarkar and Ramesh Powar.
