Bashir Raghe and Muse Sudi Yalahow took a boat early in the morning to a US military vessel which approached the Somali coast, while Omar Finnish told local media that he had apologised for his opposition to the courts, a senior aide to the Islamist leadership said.
The warlords' move could not be independently confirmed.
Asked about warlords fleeing to a US ship, Commander Jeff Breslau, a spokesman for the US Navy's Fifth Fleet, said he "had no information on that" and advised to handle the information "with caution".
He said there was a coalition taskforce in the region led by Pakistan which included US naval vessels "patrolling the waters of the Gulf of Oman ... Gulf of Aden, Red Sea, parts of the Indian Ocean".
Earlier on Friday, thousands of supporters of the Islamist alliance controlling key parts of Somalia have protested against foreign interference after influential clan elders backed a new system of governance led by the alliance.
At least 7,000 people poured onto the streets of Mogadishu on Friday to condemn plans to deploy African peacekeepers to help the country's powerless government impose its rule.
They also protested against US support for militia leaders opposing the alliance, condemning George Bush, the US president, with slogans including "Bush is a war criminal who has massacred a lot of people" and "Go to hell with your democracy".
Abdul Kadir Ali Omar, the deputy chairman of the Islamic courts, said: "We do not want foreign troops because there is no necessity. They will not make peace in Somalia because they have never made peace anywhere in the world."
Omar called on parliament, which on Wednesday approved the deployment of a regional peacekeeping force, to retract the decision or be regarded as the "enemy".
His comments were seen as an early indication that the Islamists have Baidoa, the seat of the government, in its sights.
"Now the MPs have only two options: To review the decision or to join the Somali enemy," he said.
Ethiopia, which was roundly condemned at the rally for meddling in Somali affairs, called for rapid deployment, expressing fear that the conflict risked spilling across the border.
Seeking to counter accusations from their vanquished rivals, the Islamists said they had no plans to start their own government and vowed to crack down on extremists in their midst.
The Islamist group has battled US-
backed militias for four months
"We want to concentrate on bringing stability and security," said Omar.
"Then we are ready for dialogue and discussion in the future. We are not here to form our own government," he added.
The protests come as Islamists consolidated their authority in areas under their control in southern Somalia, winning the backing of influential clan elders and agreeing to peace talks with the largely powerless transitional government.
Sheikh Sharif Sheikh Ahmad, head of the Islamic Courts Union, agreed to a new system of governance for the town of Jowhar, with elders heading the administration while the militias would ensure security in the town and outlying regions.
Sheikh Ibrahim Farah, a prominent elder and imam in the town, said: "We agreed to collaborate with the Islamic courts in the establishment of new administrations."
Sheikh Sharif ordered a crackdown on looters amid a surge in burglaries in Jowhar.
Sheikh Ahmad ordered a
crackdown on looters in Jowhar
The Islamic courts group has for four months been battling the secular militia alliance for control of Somalia, which has been without an effective central government since Mohamed Siad Barre was ousted in 1991.
At least 360 people have been killed.
Civilians have increasingly supported the Islamist group, which has vowed to impose Islamic law and bring stability and order to the lawless Horn of Africa nation.
Experts attribute much of this support to public weariness with years of violence and their resentment of US support for the militia Alliance for the Restoration of Peace and Counter-Terrorism.
In a separate deal announced on Friday, a Yemeni official in Sanaa said Islamist chief Sheikh Ahmad and Abdullah Yusuf Ahmed, the Somali interim president, had agreed to talks led by Yemen's president.
But sources within the militia alliance said they had accepted the deal only as a means to buy time to consolidate their hold on Somali territory.
Numerous factions have ruled in Somalia since its last government collapsed in 1991 and their violent rivalry has scuppered multiple efforts to restore a functional authority there.
Washington has never publicly confirmed or denied support for the militia commanders.
But US officials have said they provided the commanders with money and intelligence to help to rein in the advance of the Islamists, which they viewed as "creeping Talibanisation".