Gumbo is a soup, made with a base of a very dark roux and must have okra in it for the desired texture. The meat in it depends on what you have available.
Jambalaya is a rice dish where the rice is cooked together with meat, trinity (onion, celery, peppers), stock and seasonings. it does not contain roux.
Etouffee is a dish made with a base of dark roux, vegetables, and meat (usually crawfish). It is basically a very thick stew served over a bed of white rice.