To play as Bloodshot go to the Temple Of Blood and enter the small bonus room reached from the platform that is knocked down by the large hammer. The "Secret Activated" message will appear when you walk in the room.
To play as Deadwing go to the maximum security cell in the Gardelle county jail.
To play as Nettie go to the Mordant St. NY. Follow the paths until reaching a room with a lever. Pull the lever and the lights will turn on. Enter the elevator and go up. Go find the door, then look for a brown patch on the floor. Jump as far as possible, then jump again. If you are quick enough you will get over and the "Secret Activated" message will appear. If you fall through, use the bear to warp there and try again.