Existing multi-modal object tracking approaches primarily focus on dual-modal paradigms, such as RGB-Depth or RGB-Thermal, yet remain challenged in complex scenarios due to limited input modalities. To address this gap, this work introduces a novel multi-modal tracking task that leverages three complementary modalities, including visible RGB, Depth (D), and Thermal Infrared (TIR), aiming to enhance robustness in complex scenarios. To support this task, we construct a new multi-modal tracking dataset, coined RGBDT500, which consists of 500 videos with synchronised frames across the three modalities. Each frame provides spatially aligned RGB, depth, and thermal infrared images with precise object bounding box annotations. Furthermore, we propose a novel multi-modal tracker, dubbed RDTTrack. RDTTrack integrates tri-modal information for robust tracking by leveraging a pretrained RGB-only tracking model and prompt learning techniques. In specific, RDTTrack fuses thermal infrared and depth modalities under a proposed orthogonal projection constraint, then integrates them with RGB signals as prompts for the pre-trained foundation tracking model, effectively harmonising tri-modal complementary cues. The experimental results demonstrate the effectiveness and advantages of the proposed method, showing significant improvements over existing dual-modal approaches in terms of tracking accuracy and robustness in complex scenarios. The dataset and source code are publicly available at https://xuefeng-zhu5.github.io/RGBDT500.