Difference between 马上，立刻，直接
Basically, we would use 马上 to imply that I’m on my way. 

We use 立刻，to imply “immediately”. 

直接 means directly or straightforward. 

For example, when I was a high school student, I was naughty and always made teachers mad at me, so they would ask me “go to the office after class immediately!” (That’s: 立刻来我办公室！in Chinese.)
 And I would reply 马上来，which means I’m on my way. So when I describe this story to my friends, I could say, 下课之后我直接去了办公室（I went to the office directly after class.)