In one way they all mean the same thing, the removal or alteration of a material to make a mark. The word choice will depend on the technique being used to make the marks.
In carving you would normally use a knife or a sharp edge to gouge or cut out pieces, you would carve wood for example.
In engraving you would use a thin rotating metal bit to cut out the material, it can produce very intricate marks. You would engrave your name in metal for example
Embossing uses a press system, where two plates, normally metal, would put a material under pressure creating an image. You would emboss paper, leather or even thin metal for example. It provides a simple way to reproduce the same image.