Not exactly. I MIGHT use them each in a similar way, but I would have to be very careful doing that. For instance, if I wanted to say that the movie I watched was so interesting and had my full attention, I might say, "That move was SO CONSUMING! It took all of my attention and I didn't even notice the tornado outside!"
And I could also write, "That movie was SO ENGROSSING, and I didn't notice the approaching tornado!" but I couldn't write, "That movie was SO PREOCCUPYING..." It just does not work.
Consuming generally means to completely envelope one's attention or actions without any regards to anything else.
Engrossing can almost mean that except it is more similar to holding one's attention... but you could get pulled away.
Preoccupying also has that sense of being distracted by something, but it also has an emotional sense to it... generally we become preoccupied by an event or person but rarely by a video game.
I hope this helps!