Saying "I was at the waterfall" is the same as pointing your finger at the waterfall and saying "I was there". "By" means "next to". If you are with a group of people, the person who is "by" you is the one you can touch. If you stand in the waterfall with water falling on your head, you will be "at", but not "near" or "by". If you are "by" the waterfall, it is possible you might become wet. If you are "near" the waterfall, you will probably stay dry.

When you say 'at', it means that you were at this place rather than somewhere else but it doesn't tell us your position relative to the place. Let's meet 'in' the cafe. - This means inside the cafe (not outside). Let's meet 'at' the cafe. - This could mean inside or outside the cafe - it doesn't tell us anything relative to the cafe. If you say 'by', it means at the 'next to' or 'besides'. We sat by the river. - We sat at the side of the river (close to it). Let's meet 'by' the cafe. - This means outside the cafe (not inside). If you say 'near', it depends on the context. It could be any distance that you consider close. There's a bus stop near the cafe - it's only two minutes away. I was at the waterfall. - I was at this as a location but we don't know if you were at the side or underneath it, etc. I was near the waterfall. - Anything from a few metres to a few hundred metres away. I was by the waterfall. - I was right at the side of it.

“At”: Where were you today? - I was at the waterfall. (I was at school, I was at my friend’s house, etc) Near and by are interchangeable, but “near” is the more commonly used of the two in everyday speech. “By” (in the place of “near”) could be considered a higher register, with a more formal tone - you would see it used this way in literature, for example. Example: I’ve been looking for you all over the park. Where were you? - I was near/by waterfall. In theory you could use “at” in this case as well, although “near” and “by” give the idea of proximity.