Impression is more like passive. Like something occurred or someone said something that gave you an impression. Like "When I saw what happened I got the impression that...."
This is really close and interchangeable with feeling. But feeling can be vague like "I have this feeling like today is going to be a bad day." You wouldn't say "I have the impression today is going to be a bad day," unless there's a specific reason why.
Sensation is more tangible. Like an emotion. A sensation of fear or excitement, etc. Sensation also has a heavier connotation to it so you wouldn't use it casually unless you're making a joke or something.