The British-flagged yacht Madleen, operated by the pro-Palestinian Freedom Flotilla Coalition (FFC), left Sicily on Friday and had hoped to reach Gaza later in the day, when the interception occurred.
Among the 12-strong crew are Swedish climate campaigner Thunberg and Rima Hassan, a French member of the European Parliament.
"The crew of the Freedom Flotilla was arrested by the Israeli army in international waters around 2am," Hassan posted on X. A photograph showed the crew seated on the boat, all wearing life jackets, with their hands in the air.
Israel's Foreign Ministry said "The 'selfie yacht' of the 'celebrities' is safely making its way to the shores of Israel", in a social media post early on Monday.
"The passengers are expected to return to their home countries."
The Israeli Foreign Ministry also posted video on X showing what appeared to be Israeli military personnel handing out sandwiches and water to the activists wearing orange life vests.
"The show is over," it said.
Earlier the Israeli Foreign Ministry posted a video showing the Israeli Navy communicating with the Madleen over a loudspeaker, urging it to change course.
It said the humanitarian aid aboard the ship would be transferred to Gaza through established channels.
The FFC, which had organised the voyage to deliver humanitarian aid to the Gaza Strip and protest Israel's blockade and wartime conduct, said the activists had been "kidnapped by Israeli forces" and released pre-recorded messages from them.
After a 10 week blockade aimed at pressuring Hamas, Israel started allowing some basic aid into Gaza last month, but humanitarian workers have warned of famine unless the blockade is lifted and Israel ends its military offensive.
An attempt last month by FFC flotilla to reach Gaza by sea failed after another of the group's vessels was attacked by two drones while sailing in international waters off Malta. The group blamed Israel for the attack, which damaged the front section of the ship.
Israel imposed a naval blockade on the coastal enclave after Hamas took control of Gaza in 2007.
The blockade has remained in place through multiple conflicts, including the current war, which began after a Hamas-led assault on southern Israel on October 7, 2023, that killed more than 1200 people, according to an Israeli tally.
Gaza's health ministry says over 54,000 Palestinians have been killed since the start of Israel's military campaign. The United Nations has warned that most of Gaza's more than 2 million residents are facing famine.
The Israeli government says the blockade is essential to prevent weapons from reaching Hamas.
with dpa and Reuters
