I have an iPhone 6s, a Macbook and a new iPad. Right now events I create on one do not show on the others.
How do I connect the calendar on all three?
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Since you have Apple products listed, iCloud calendars would be the place to start.
There is a link in the top right on the instructions for setting up each of your devices to use iCloud for calendar syncing:
Start with one device - then check in the cloud using https://www.icloud.com/#calendar once the cloud and one device sync, move on to the next device and repeat until they all have syncing enabled.