Actually, I'm not sure what your issue is if you have all of those...
For example, this gradle build file specifies just those three things:
And then this is what it automatically downloads:
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-core/3.1.0-stable/jme3-core-3.1.0-stable.pom
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-desktop/3.1.0-stable/jme3-desktop-3.1.0-stable.pom
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-lwjgl/3.1.0-stable/jme3-lwjgl-3.1.0-stable.pom
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-core/3.1.0-stable/jme3-core-3.1.0-stable.jar
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-desktop/3.1.0-stable/jme3-desktop-3.1.0-stable.jar
Download https://jcenter.bintray.com/org/jmonkeyengine/jme3-lwjgl/3.1.0-stable/jme3-lwjgl-3.1.0-stable.jar
I don't really think about it normally.
Edit: it could be that I had the -natives jar already downloaded, though.