You're not specifying the language but depending on language this could be rewritten in many ways
Ruby way (using the spaceship operator):
case A <=> B
    when -1 then... # A < B
    when  0 then... # A = B
    when  1 then... # A > B
end
Perl, PHP7 and Groovy also have the same operator. Many other languages have similar operators or functions for the same combined comparison purpose like cmp in Python 2, compare in OCaml and compareTo in Kotlin. C# doesn't have that operator but it has the IComparable interface with CompareTo method. 
VB way:
Select Case A
    Case Is < B
        ...
    Case Is = B
        ...
    Case Is > B
        ...
End Select
In C, C++ and many C-like languages without CompareTo method you can use this way
int cmp = (A > B) - (A < B);
switch (cmp)
{
    case -1: ...
    case  0: ...
    case  1; ...
}
Many languages like Java don't allow you to directly use the comparison results as a numeric value. In that case you can use the signum function
switch(Integer.signum(A - B))
You can implement signum function easily in C and C++ like this
Those are for the high-level languages. At the assembly level things are simpler. In x86 assembly only a single comparison is needed, then depending on the result we'll jump to the corresponding block, so it's not 3 comparisons and the compiler is smart enough to optimize this simple case. For example:
    cmp eax, ebx
    je EQUAL_TO      ; jump if =
    ja GREATER_THAN  ; jump if >
    ; less than case's code
    jmp END_CMP
EQUAL_TO:
    ; equal case's code
    jmp END_CMP
GREATER_THAN:
    ; larger than case's code
END_CMP:
The same to other architectures with comparison flags like ARM or 68k... For architectures without a flag like MIPS you may need one more comparison but never 3 comparisons
MIPS example:
    beq $t0, $t1, EQUAL_TO       # $t0 = A, $t1 = B; if ($t0 == $t1) equal();
    slt $t0, $t1, $t2            # $t2 = is_less_than = ($t0 < $t1);
    beq $t2, $zero, GREATER_THAN # if (!is_less_than) larger();
    # "less than" code here
    # ...
    j END_CMP
EQUAL_TO:
    # "equal" code
    # ...
    j END_CMP
GREATER_THAN:
    # "larger" code
    # ...
END_CMP:
For architectures with conditional instructions like ARM or Itanium and with simple enough body in the if-else blocks you may not even need a jump