The three were announced by the National Basketball Association on Thursday (AEST) along with the individual finalists for the MVP, defensive player of the year and most improved awards.
The awards will be voted by a panel of sportswriters and broadcasters throughout the United States and Canada, while fans will get to vote for several awards as well.
The 21-year-old averaged 15.8 points, 8.1 rebounds, 8.2 assists and 1.7 steals per game.
Harden is considered the favorite to win the award. Harden is the likely victor, and has been all season.
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The results will be announced June 25 during a televised show in Los Angeles.
The Warriors may have won 58 games this season, and may be headed to their fourth straight Finals but they won't be winning any National Basketball Association awards this year.
Wednesday night before tip-off of game two of the Western Conference Finals, the National Basketball Association announced the three finalists for the league's highest individual honor.
Ben Simmons has been shortlisted for the NBA's Rookie of the Year award, along with Utah's Donovan Mitchell and Boston sensation Jayson Tatum.
Davis was also a finalist for Defensive Player of the Year, along with Gobert and Philadelphia center Joel Embiid.