Two suspected members of the West German Baader-Meinhof terrorist gang are believed to have entered the United States and a third is being held in custody after crossing the border from Canada to Vermont, according to law enforcement sources.

The first known attempt by members of that group to infiltrate the United States was announced yesterday by the FBI. A spokesman said that a woman later identified as Kristina Ketherina Berster, 27, was detained by U.S. Border Patrol agents when she crossed the border from Canada at Alburg, Vt., on foot Sunday night carrying an allegedly phony Iranian passport.

Berster is sought by West German authorities on the basis of a March 1973 warrant charging her with criminal conspiracy using explosives and counterfeit documents and with belonging to a criminal organization.

On Monday, according to the FBI, three other persons later linked with Berster tried to cross the border at the same point but returned to canada after border patrolmen began questioning them.

Sources said last night that they now believe two of those persons, a man and a woman, have since entered the United States. The sources refused to provide additional details.

An FBI spokesman said U.S. authorities have no idea of the group's destination or mission. No weapons were found on Berster, he added.

A Burlington, Vt., magistrate ordered Berster held on $500,000 bond yesterday. She is being held at an undisclosed location and has refused to cooperate with authorities, the spokesman said.

The FBI spokesman refused to say for certain that Berster and her alleged companions - they were reported to have stayed at the same hotel in Canada - were members of the notorious Baader-Meinhof gang. But sources said they are suspected of being part of that group, which has terrorized West Germany wiht a series of murders, bombings, robberies, and hijackings.

A major effort to find the missing suspects has been started in the United States and Canada, the FBI spokesman said.

The Baader-Meinhof gang takes its name from its two leaders, both of whom allegedly committed suicide while being held in West German prisons.

The group grew out of the radical student movement in the 1960s and turned sharply toward violence in recent years.

It is believed possible that the suspected members who tried to enter the United States were looking for a place to hide because of the intense manhunts that have followed them in Germany.

International terrorists have made few efforts to transport their violence to the United States, but federal officials have voiced rising fears of that possibility in recent months.

FBI Director William H. Webster recently was host to a conference on terrorism for police officials from several countries.

It is not certain how often members of such overseas terrorist groups attempt to enter the United States. But an FBI expert on terrorism said in a recent interview that there have been isolated instances.

A few years ago, for example, an alleged member of Japan's radical Red Army was turned back at the U.S. border while trying to follow the visit of a high Japanese government official, he said.