In this article, we construct a kind of three-dimensional piecewise linear (PWL) system with three switching manifolds and obtain four theorems with regard to the existence of a homoclinic orbit and a heteroclinic cycle in this class of PWL system. The first theorem studies the existence of a heteroclinic cycle connecting two saddle-foci. The existence of a homoclinic orbit connecting one saddle-focus is investigated in the second theorem, and the third theorem examines the existence of a homoclinic orbit connecting another saddle-focus. The last one proves the coexistence of the heteroclinic cycle and two homoclinic orbits for the same parameters. Numerical simulations are given as examples and the results are consistent with the predictions of theorems.