A simple method for determination of rare earth elements (REEs) by liquid–liquid–liquid microextraction (LLLME) coupled with capillary electrophoresis and ultraviolet technique was developed. In the LLLME system, 40 mmol L−1 4-benzoyl-3-methy-1-phenyl-5-pyrazolinone (PMBP) acted as extractant and 4% (v/v) formic acid was used as back-extraction solution. The parameters influencing the LLLME, including the type of the organic solvent, sample pH, formic acid concentration, PMBP concentration, extraction time, volume of organic solvent, stirring rate and phase volume ratio, were investigated. Under the optimized conditions, the detection limits (S/N = 3) of REEs were in the range of 0.19–0.70 ng mL−1. The developed method was successfully applied to the determination of trace amounts of REEs in water samples.