The correct one is "in the morning." The others don't really make sense, because "on," when used to reference time, usually indicates a particular, more focused span of time (ex; "on the hour of..."). Using "in" makes it more broad and general and can refer to any moment within/during the morning hours. "At" is used sometimes temporally, but not nearly as often as "in." (ex; at night). To make the explanation even simpler, "in the morning," is simply a set phrase and it usually doesn't change form. Additionally you can say "in the afternoon," or "in the evening." Exactly why it's this way, I'm not sure how to explain, but there phrases are very concrete.
I hope this helps. If you have further questions, let me know.