Hi Kajsa and
to the forums!
Unfortunately, this can often happen, especially when the three budgies are of different genders.
Separating him would be the best thing for right now, even though he seems sadder. Once he realizes that he has his own space and you spend lots of time with him, he should perk up. This will take more than a few days; at first he probably will seem very forlorn and depressed. However, include him in as many activities as you can (i.e sit by him to do work, move his cage to where you watch TV, etc.) and he should feel better soon.
If after a few weeks, he still is depressed (i.e not moving, chirping, etc.), then getting him a male buddy would be the best idea so that after quarantine you can introduce them and he can feel included again
It's great to have you with us, and you couldn't have come to a better place to learn even more about the best of budgie care! Be sure to read through the forum's many Budgie Articles and "stickies" (threads "stuck" to the top of each subforum for easy reference).
If you have any questions afterwards, please be sure to ask as we'd love to help.
Hope to see you around, and to meet your budgies soon, too!