A Costas array is a permutation array for which the vectors joining pairs of $1$s are all distinct. We propose a new three-dimensional combinatorial object related to Costas arrays: an order $n$ Costas cube is an array $(d_{i,j,k})$ of size $n \times n \times n$ over $\mathbb{Z}_2$ for which each of the three projections of the array onto two dimensions, namely $(\sum_i d_{i,j,k})$ and $(\sum_j d_{i,j,k})$ and $(\sum_k d_{i,j,k})$, is an order $n$ Costas array. We determine all Costas cubes of order at most $29$, showing that Costas cubes exist for all these orders except $18$ and $19$ and that a significant proportion of the Costas arrays of certain orders occur as projections of Costas cubes. We then present constructions for four infinite families of Costas cubes.