We study the chemical evolution of Zr, La, Ce, and Eu in the Milky Way discs and bulge by means of chemical evolution models compared with spectroscopic data. We consider detailed chemical evolution models for the Galactic thick disc, thin disc, and bulge, which have been already tested to reproduce the observed [alpha/Fe] versus [Fe/H] diagrams and metallicity distribution functions for the three different components, and we apply them to follow the evolution of neutron capture elements. In the [Eu/Fe] versus [Fe/H] diagram, we observe and predict three distinct sequences corresponding to the thick disc, thin disc, and bulge, similar to what happens for the alpha-elements. We can nicely reproduce the three sequences by assuming different time-scales of formation and star formation efficiencies for the three different components, with the thin disc forming on a longer time-scale of formation with respect to the thick disc and bulge. On the other hand, in the [X/Fe] versus [Fe/H] diagrams for Zr, La, and Ce, the three populations are mixed and also from the model point of view there is an overlapping between the predictions for the different Galactic components, but the observed behaviour can be also reproduced by assuming different star formation histories in the three components. In conclusions, it is straightforward to see how different star formation histories can lead to different abundance patterns and also looking at the abundance patterns of neutron capture elements can help in constraining the history of formation and evolution of the major Galactic components.