Let's make 3D Jigsaw Puzzle Piece.
1. First of all open a New Document here
I have selected 300 Pixel / 300pixel.
Now from the Custom Shape Tool seelct
a shape that look like a jigsaw puzzle piece.


2. Select Pen Tool , and Right click
on the shape > Make Selection > click ok
at 0.2 pixel.



3. Now select Gradient Tool >
go to Gradient Editor > set color in the Gradient Editor ,
and then fill the Gradient color #575B64, #5C606B,
#ADC0D1, #C9D7FA in the Layer1. Press Ctrl+D.


4. Now go to Edit > click on Free Transform,
and then turn the shape as shown below.


5. Now make a copy of the Layer2.

6.Now to make selection click on the copied
image while pressing Ctrl, and then select Gradient Tool
,
go to Gradient Editor and change the color as shown below.
Now fill the Gradient color #595C63, #F2FCFE,
#31363C,
#C4D6FA in the copied Layer.


7. Now set the Layer as shown below, and then go to
Edit > click on Free Transform and set the shape as
you can see in the Image below.

8. Now with the help of Pen Tool create a
shape as shown below > Right click on the created Shape
> Make Selection > click ok at 0.2 pixel.



9. Now here fill the color #67686A in the layer3.

10. Now select Burn Tool ,
and give Effect with the help of the Image below. You
can chnage the size of the Brush if you want.

11. Now select Dodge Tool , and give Effect with the help of the Image below. You can chnage the size of the Brush if you want.

12. Now Double click on the Layer3 > Layer Style > in the
Drop Shadow give Effect with the help of Image below.

13. Final Image.

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