The 11 women and eight men were taken into custody on a bank of the Mekong river in Chiang Rai province, some 780 kilometres (490 miles) north of Bangkok, after they disembarked from a boat, local police said.
An immigration officer confirmed the arrests, explaining they will be fined or jailed in lieu of money, and sent to a holding centre in Bangkok to wait to see if another country will accept them.
"They said they want to go to a third country, which normally means South Korea," said Lieutenant Colonel Kriangkrai Ariyaying, immigration chief in northern Chiang Saen district.
Almost all refugees escaping from North Korea make their way on foot to China but face repatriation if caught there.
Many then travel surreptitiously on what is nicknamed the "underground railway" to Southeast Asia and then seek resettlement in South Korea.
The Mekong river snakes through China's Yunnan province, Myanmar and Laos before reaching Thailand, where the refugees often disembark in the knowledge Thai authorities will not repatriate them to North Korea.
Some 22,000 North Koreans have defected from their impoverished and hunger-stricken homeland for South Korea since the 1950-1953 war, the vast majority in recent years.