I am a mechanical engineer. I want to do MBA in finance. Do I have work under CA, ICWA, and CFA?

No, do not think of working under CA or someone else at this stage. You can do MBA in Finance. I recommend you to try clearing first level of CFA if you are extremely interested in finance. As you are a mechanical engineer, clearing first level of CFA before starting MBA will help you a lot in MBA a

Why do you want to go for MBA or CA? They are commerce fields. You have good opportunities in your mechanical branch if you can go for ME or M.Tech after clearing GATE exam with a good rank.

No, you are not required to work under CA, ICWA and CFA. You need to appear for CAT and based on your merit score seek admission in MBA (finance). CFA is an additional qualification that one can acquire post MBA (finance) to enhance your skills in the financial services domain.