Not much difference, it's a small difference in meaning, hard to explain. If I say I'm walking on the street, it's emphasising my footwear touching the concrete surface, "on" the surface of the street", so I could say my shoes can't handle walking on the street. But "in" still works fine here, it just doesn't emphasise the contact with the surface so much. If I say I'm walking in the street, it's emphasising me walking between the houses on either side of the street, "in" the area of the street, so I could say it's very dark and hard to see where I'm going when I'm in the street after 10pm. I would never say "I'm walking at the street" because that's bad grammar but I could say "I'm currently at the street you mentioned" and it's emphasising the proximity, "at" the named location. In and On are generally used interchangeably but have a slightly different emphasis as mentioned above, and At is not really used this way but can be used for specific street names.

The first two are basically synonymous. There are very subtle nuances that I think will depend on the region where English is spoken. In my part of the US, I hear “in the street” more often. “At the street” sounds strange. I use it only when talking about the intersection of streets or a specific address. “Meet me at Main Street and 1st Avenue.” “I work at 100 Main Street.”

In Canada, it's the same. If you're playing in the street or playing on the street. It's basically six of one, half dozen of another. The difference is small enough that it doesn't really matter. With "at" the reference means location. For example, "I live at 123 So-and-So Street."

There may be a difference here between British English and USA English. I will answer about British. In the street means you’re literally there, on the street usually implies the general location. I’m playing football in the street. I live on that street. At the street is hardly used in English.