Queensland's Office of Fair Trading has warned One Nation's Queensland division to produce the statements in order to meet legal requirements.
One Nation Leader Pauline Hanson is also the Queensland division's president and is responsible for making sure the requirements are met.
The Office of Fair Trading requested the annual returns for 2022/23, 2023/24 and 2024/25 after they were overdue.
But while One Nation has since lodged the annual returns for the three financial years, other documents were included in it.
"These returns did not include the audited financial statements as required by the Associations Incorporation Act 1981," a spokesman for the office said.
"The Office of Fair Trading has given the association until August 18, 2026 to lodge the outstanding financial statements."
If the statements aren't filed by the deadline, the office will carry out enforcement action.
Measures could include issuing infringement notice, or a show cause motion to demonstrate why the division's legal status should not be cancelled.
One Nation has been contacted for comment.
A One Nation spokesman told The Australian newspaper in June the delay in lodging the paperwork was an oversight due to high staff turnover at the party's head office.
It comes as Senator Hanson has been called to justify why she took a plane trip to Europe, funded by mining magnate Gina Rinehart.
The One Nation leader updated her register of interests on Tuesday, showing Australia's richest person paid for Senator Hanson's flights to London, Sicily and Rome in July.
She also said in her register Ms Rinehart had gifted her an invitation to Dolce and Gabanna's fashion parade, where the pair were photographed.
But Senator Hanson said only the flights and fashion show invite were paid for by Ms Rinehart.
"Accommodation, meals and daily expenses were paid for personally," she said.
Senator Hanson previously attracted criticism for failing to disclose how her trip was funded, after saying it had not cost the taxpayer.
Opposition Leader Angus Taylor said it was up to One Nation to explain why the trip was paid for by the billionaire.
"What I will say is that, if people want to contribute to our party, I'm going to make sure we use that money to get rid of a rotten Labor government," he told reporters on Wednesday.
Nationals Leader Matt Canavan said he would not have accepted a trip to Europe from a donor.
"If a large benefactor offered me a holiday I'd say, 'look, I'd prefer you just put that money into changing the government," he told Nine's Today program.
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