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We study the Casimir-Lifshitz force and the radiative heat transfer in a system consisting of three bodies held at three independent temperatures and immersed in a thermal environment, the whole system being in a stationary configuration out of thermal equilibrium. The theory we develop is valid for arbitrary bodies, i.e., for any set of temperatures, dielectric, and geometrical properties, and describes each body by means of its scattering operators. For the three-body system we provide a closed-form unified expression of the radiative heat transfer and of the Casimir-Lifshitz force (both in and out of thermal equilibrium). This expression is thus first applied to the case of three planar parallel slabs. In this context we discuss the nonadditivity of the force at thermal equilibrium, as well as the equilibrium temperature of the intermediate slab as a function of its position between two external slabs having different temperatures …