You cannot legend() all of the entries individually to get a combined legend. You need to legend() at the end. Better yet would be to record the handles of each of the plots and pass the array of those handles as the first entry to legend(). Also, each of those axes() calls is causing everything before that to be erased because you are not using "hold on". You should consider using subplot()
fig = figure;
H1 = subplot(1, 3, 1, 'Parent', fig);
L(1) = plot(H1, x1, y1, 'r');
H2 = subplot(1, 3, 2, 'Parent', fig);
L(2) = plot(H2, x2, y2, 'b');
H3 = subplot(1, 3, 3, 'Parent', fig);
L(3) = plot(H3, x1, y1, 'g');
legend(L, {'first plot', 'second plot', 'third plot'})
