The following example demonstrates a three-color scale:
Sub ThreeColorScale()
Dim Rg As Range
ThisWorkbook.Worksheets("Sheet6").Activate
Set Rg = Range("A2:A11")
' Remove any existing conditional formats
Rg.FormatConditions.Delete
' Add a three-color scale conditional formatting
Rg.FormatConditions.AddColorScale 3
' Modify the three-color scale settings
With Rg.FormatConditions(1)
.ColorScaleCriteria(1).Type = xlConditionValueLowestValue
.ColorScaleCriteria(1).FormatColor.Color = vbGreen
.ColorScaleCriteria(2).Type = xlConditionValuePercentile
.ColorScaleCriteria(2).FormatColor.Color = vbYellow
.ColorScaleCriteria(3).Type = xlConditionValueHighestValue
.ColorScaleCriteria(3).FormatColor.Color = vbRed
End With
Set Rg = Nothing
End Sub

Explanation of Differences from Two-Color Scale:
The method AddColorScale() is called with the parameter value 3 to specify a three-color scale.
When modifying the scale, the middle color corresponds to the percentile value (xlConditionValuePercentile), which represents a statistical intermediate value.
This middle color is set to yellow, while the lowest and highest values are colored green and red respectively.