I'm really bad at statistics

I have 3 variables and i want to study the link between them. So i did a Correlation Matrix. But I think that they expect more statistic analyses for my thesis.
I also wanted to do a Multiple Linear Regression but it would mean that i should define what variables impacts the other...
Should 3 Linear Regression for my 3 variables ? Or is there an other statistic test to go further in my analyses ?
Have a nice day !!
