<?php
$categories = get_terms( 'my-taxonomy', array(
'hide_empty' => 0,
) );

$subcategories = $subsubcategories = $categories;

foreach ( $categories as $category ) {
// Only top level terms
if ( 0 != $category->parent ) {
continue;
}

// It is first level, display it
echo '<h2>' . $category->name . '</h2>';
echo '<ul>';

foreach ( $subcategories as $subcategory ) {
// Only child terms
if ( $category->term_id != $subcategory->parent ) {
continue;
}

// It is second level, display it
echo '<li>' . $subcategory->name;
echo '<ul>';

foreach ( $subsubcategories as $subsubcategory ) {
// Only child terms
if ( $subcategory->term_id != $subsubcategory->parent ) {
continue;
}

// It is third level, display it
echo '<li style="color:red;">' . $subsubcategory->name . '</li>';
}

echo '</ul>';
echo '</li>';
}

echo '</ul>';
}
?>