Real-time three-dimensional single particle tracking (RT-3D-SPT) has the potential to shed light on fast, 3D processes in cellular systems. Although various RT-3D-SPT methods have been put forward in recent years, tracking high speed 3D diffusing particles at low photon count rates remains a challenge. Moreover, RT-3D-SPT setups are generally complex and difficult to implement, limiting their widespread application to biological problems. This protocol presents a RT-3D-SPT system named 3D Dynamic Photon Localization Tracking (3D-DyPLoT), which can track particles with high diffusive speed (up to 20 µm2/s) at low photon count rates (down to 10 kHz). 3D-DyPLoT employs a 2D electro-optic deflector (2D-EOD) and a tunable acoustic gradient (TAG) lens to drive a single focused laser spot dynamically in 3D. Combined with an optimized position estimation algorithm, 3D-DyPLoT can lock onto single particles with high tracking speed and high localization precision. Owing to the single excitation and single detection path layout, 3D-DyPLoT is robust and easy to set up. This protocol discusses how to build 3D-DyPLoT step by step. First, the optical layout is described. Next, the system is calibrated and optimized by raster scanning a 190 nm fluorescent bead with the piezoelectric nanopositioner. Finally, to demonstrate real-time 3D tracking ability, 110 nm fluorescent beads are tracked in water.