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The Transiting Exoplanet Survey Satellite, TESS, is currently carrying out an all-sky search for small planets transiting bright stars. In the first year of the TESS survey, steady progress was made in achieving the mission's primary science goal of establishing bulk densities for 50 planets smaller than Neptune. During that year, TESS's observations were focused on the southern ecliptic hemisphere, resulting in the discovery of three mini-Neptunes orbiting the star TOI-125, a V=11.0 K0 dwarf. We present intensive HARPS radial velocity observations, yielding precise mass measurements for TOI-125b, TOI-125c and TOI-125d. TOI-125b has an orbital period of 4.65 days, a radius of $2.726 \pm 0.075 ~\mathrm{R_{\rm E}}$, a mass of $ 9.50 \pm 0.88 ~\mathrm{M_{\rm E}}$ and is near the 2:1 mean motion resonance with TOI-125c at 9.15 days. TOI-125c has a similar radius of $2.759 \pm 0.10 ~\mathrm{R_{\rm E}}$ and a mass of $ 6.63 \pm 0.99 ~\mathrm{M_{\rm E}}$, being the puffiest of the three planets. TOI-125d, has an orbital period of 19.98 days and a radius of $2.93 \pm 0.17~\mathrm{R_{\rm E}}$ and mass $13.6 \pm 1.2 ~\mathrm{M_{\rm E}}$. For TOI-125b and TOI-125d we find unusual high eccentricities of $0.19\pm 0.04$ and $0.17^{+0.08}_{-0.06}$, respectively. Our analysis also provides upper mass limits for the two low-SNR planet candidates in the system; for TOI-125.04 ($R_P=1.36 ~\mathrm{R_{\rm E}}$, $P=$0.53 days) we find a $2σ$ upper mass limit of $1.6~\mathrm{M_{\rm E}}$, whereas TOI-125.05 ( $R_P=4.2^{+2.4}_{-1.4} ~\mathrm{R_{\rm E}}$, $P=$ 13.28 days) is unlikely a viable planet candidate with upper mass limit $2.7~\mathrm{M_{\rm E}}$. We discuss the internal structure of the three confirmed planets, as well as dynamical stability and system architecture for this intriguing exoplanet system.