PokéBase - Pokémon Q&A
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I understand they are the lowest tiers on Smogon, but what is the difference between the three?

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The PU format is a format that allows all Pokemon that are used less than 3.4% in NU and aren't banned to PUBL. The PU tier is the set of Pokemon that are used more than 3.4% in the PU format.

The ZU format is a format that allows all Pokemon that are used less than 3.4% in PU and aren't banned to ZUBL.

Untiered is the set of Pokemon that are used less than 3.4% in PU. It doesn't have a playable format. It's defined using PU usage because ZU is currently not an official tier.

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are untiered pokemon worse than zu pokemon?
All ZU and ZUBL Pokemon are untiered. ZU is kind of "within" untiered, not above or below it.
ok thank you.
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The same difference that every main tier has - usage.

Tiers are based of usage. A Pokemon that is used a lot is Over Used, used less it's Under Used etc.

PU is for Pokemon that have usage in NU but is under the 3.42% used cut off line.

ZU is the same for PU. Any Pokemon that can be used in PU but is used less then 3.42% usage in the tier is ZU.

Untiered basically just means that there isn't a tier below ZU. Something that is used less than 3.42% in ZU is untiered, it's used so little even in the lowest tier that it doesn't have one.

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Untiered Pokemon are used less than 3.4% in PU, not ZU. If you haven't noticed, most of the Pokemon that are viable in ZU are labeled "untiered". https://www.smogon.com/dex/sm/formats/zu/