How can I create a join on three tables, each from a different database?
If you are using MySQL you can do this:

select * 
from dob.dob_state 
join numid.numid_history as t2 
    on t2.create_time = dob_state.create_time 
    and t1.last_name = t2.last_name 
    and t1.first_name = t2.first_name
join entity.entity as t3 
    on t3.create_time = t2.create_time
    and t2.last_name = t3.last_name 
    and t2_first_name = t3_last_name;


Tip: You don't have to write inner join, just join.