There are no melt or pivot APIs in pyspark that will accomplish this directly. Instead, flatmap from the RDD into a new dataframe and aggregate:
df.show()                                                                                                                                                                                           
+---+---+---+
|123|124|125|
+---+---+---+
|  1|  2|  3|
|  9|  9|  4|
|  4| 12|  1|
|  2|  4|  8|
|  7|  6|  3|
| 19| 11|  2|
| 21| 10| 10|
+---+---+---+
For each column or each row in the RDD, output a row with two columns: the value of the column and the column name:
cols = df.columns
(df.rdd
 .flatMap(lambda row: [(row[c], c) for c in cols]).toDF(["value", "column_name"])
 .show())
+-----+-----------+
|value|column_name|
+-----+-----------+
|    1|        123|
|    2|        124|
|    3|        125|
|    9|        123|
|    9|        124|
|    4|        125|
|    4|        123|
|   12|        124|
|    1|        125|
|    2|        123|
|    4|        124|
|    8|        125|
|    7|        123|
|    6|        124|
|    3|        125|
|   19|        123|
|   11|        124|
|    2|        125|
|   21|        123|
|   10|        124|
+-----+-----------+
Then, group by the value and aggregate the column names into a list:
from pyspark.sql import functions as f 
(df.rdd
 .flatMap(lambda row: [(row[c], c) for c in cols]).toDF(["value", "column_name"])
 .groupby("value").agg(f.collect_list("column_name"))
 .show())
+-----+-------------------------+
|value|collect_list(column_name)|
+-----+-------------------------+
|   19|                    [123]|
|    7|                    [123]|
|    6|                    [124]|
|    9|               [123, 124]|
|    1|               [123, 125]|
|   10|               [124, 125]|
|    3|               [125, 125]|
|   12|                    [124]|
|    8|                    [125]|
|   11|                    [124]|
|    2|          [124, 123, 125]|
|    4|          [125, 123, 124]|
|   21|                    [123]|
+-----+-------------------------+