You should return Request instances and pass item around in meta. And you would have to make it in a linear fashion and build a chain of requests and callbacks. In order to achieve it, you can pass around a list of requests for completing an item and return an item from the last callback:
def parse_main_page(self, response):
    item = MyItem()
    item['main_url'] = response.url
    url1 = response.xpath('//a[@class="link1"]/@href').extract()[0]
    request1 = scrapy.Request(url1, callback=self.parse_page1)
    url2 = response.xpath('//a[@class="link2"]/@href').extract()[0]
    request2 = scrapy.Request(url2, callback=self.parse_page2)
    url3 = response.xpath('//a[@class="link3"]/@href').extract()[0]
    request3 = scrapy.Request(url3, callback=self.parse_page3)
    request.meta['item'] = item
    request.meta['requests'] = [request2, request3]
    return request1
def parse_page1(self, response):
    item = response.meta['item']
    item['data1'] = response.xpath('//div[@class="data1"]/text()').extract()[0]
    return request.meta['requests'].pop(0)
def parse_page2(self, response):
    item = response.meta['item']
    item['data2'] = response.xpath('//div[@class="data2"]/text()').extract()[0]
    return request.meta['requests'].pop(0)
def parse_page3(self, response):
    item = response.meta['item']
    item['data3'] = response.xpath('//div[@class="data3"]/text()').extract()[0]
    return item
Also see: