They are verbs. In Chinese, there is an object after a verb, and they have different objects.
建立 is more formal , we always say 建立国家，建立基地
成立 can say 成立公司，成立组织
设立 can say 设立机构
To be honest,成立 is similar to 设立, so if you cannot distinguish 成立 and 设立，you can use one of them in a same sentence，Chinese people can understand.