Results are presented of searches for continuous gravitational waves from 20 accreting millisecond X-ray pulsars with accurately measured spin frequencies and orbital parameters, using data from the third observing run of the Advanced LIGO and Advanced Virgo detectors. The search algorithm uses a hidden Markov model, where the transition probabilities allow the frequency to wander according to an unbiased random walk, while the $\mathcal{J}$-statistic maximum-likelihood matched filter tracks the binary orbital phase. Three narrow sub-bands are searched for each target, centered on harmonics of the measured spin frequency. The search yields 16 candidates, consistent with a false alarm probability of 30% per sub-band and target searc...