We present a three-dimensional (3D) extinction map of the southern sky. The map covers the SkyMapper Southern Survey (SMSS) area of ∼14,000 deg2 and has spatial resolutions between 6'9 and 27'. Based on the multi-band photometry of SMSS, the Two Micron All Sky Survey, the Wide-Field Infrared Survey Explorer Survey, and the Gaia mission, we have estimated values of the r-band extinction for ∼19 million stars with the spectral energy distribution analysis. Together with the distances calculated from the Gaia data release 2 (DR2) parallaxes, we have constructed a 3D extinction map of the southern sky. By combining our 3D extinction map with those from the literature, we present an all-sky 3D extinction map, and use it to explore the 3D distribution of the Galactic dust grains. We use two different models, one consisting of a single disk and another of two disks, to fit the 3D distribution of the Galactic dust grains. The data is better fitted by a two-disk model, yielding smaller values of the Bayesian Information Criterion. The best-fit model has scale heights of 73 and 225 pc for the "thin" and "thick" dust disks, respectively.