You may not connect the MPU-6050 module to the SDA and SCL of the Arduino 2560 Mega board.
That board is the only board that has 10k pullup resistors to 5V, thus creating a 5V I2C bus. That is too much for the MPU-6050 chip.
You have to buy a level shifter. The MPU-6050 might already be damaged.
The XCL and XDA allow passing-through the I2C bus, but don't use it. If those are enabled in the MPU-6050 chip, they will be the same as the I2C-bus from the Arduino. It will not be possible to use more than two MPU-6050 modules.
To use 3 MPU-6050 modules, you need some kind of mux for the I2C bus.
There seems to be a trick with ADO ( http://playground.arduino.cc/Main/MPU-6050#multiple
), but since the Arduino Mega 2560 is a 5V board, you have to lower the signals to 3.3V for the different AD0 pins.