Yes 3 liquids can form immiscible mixture.
Take three liquids which are differ in density for example hexane, water, and ethylene.
Here hexane forms upper layer.it is less dense than water and the ethylene forms lower layer which is denser than water. Water forms middle layer.
This mixture can be separated by using distillation or fractional distillation method. The liquid which boils at lower temperature that comes out first from the mixture. Liquid which boils at higher temperature that comes later.