Confocal fluorescence spectroscopy is a versatile method for studying dynamics and interactions of biomolecules in their native environment with minimal interference with the observed system. Analyzing coincident fluctuations induced by single molecule movement in spectrally distinct detection channels, dual-color fluorescence cross-correlation, and coincidence analysis have proven most powerful for probing the formation or cleavage of molecular bonds in real time. The similarity of the optical setup with those used for laser scanning microscopy, as well as the non-invasiveness of the methods, make them easily adaptive for intracellular measurements, to observe the association and dissociation of biomolecules in situ. However, in contrast to standard fluorescence microscopy, where multiple fluorophores can be spectrally resolved, single molecule detection has so far been limited to dual-color detection systems due to the harsh requirements on detection sensitivity. In this study, we show that under certain experimental conditions, employing simultaneous two-photon excitation of three distinct dye species, their successful discrimination indeed becomes possible even on a single molecule level. This enables the direct observation of higher order molecular complex formation in the confocal volume. The theoretical concept of triple-color coincidence analysis is outlined in detail, along with an experimental demonstration of its principles utilizing a simple nucleic acid reaction system.