You create a single background image by creating an Empty -> Image -> Background:
Once selected, the file browser will pop up allowing you to select that image.
By default, the image is created perpendicular to your view, so to create three background images that match the axis,
- Pick a viewpoint from Top, Front, or Left
- Use the add menu to create the image empty.
Repeat this for each viewpoint. For each view, if you want the image only visible from that view, go to the Image properties in the property editor and select Orthographic and Only Axis Aligned:
It is typical to move the images along their axis so that they are behind the objects you are editing when they are in view.