___ are going to the park.
___ are going to the park.
Explanation
"They are going to the park."
"They" is a subject pronoun used for more than one person.
It correctly matches the verb "are," which is plural.
Why the others would be incorrect (if given):
He → singular (would need "is": He is going…)
Me → object pronoun, not used as the subject
I → singular (would need "am": I am going…)