We present a three-dimensional (3D) extinction map of the southern sky. The map covers the SkyMapper Southern Survey (SMSS) area of $sim$ 14,000 ${rm deg^{2}}$ and has spatial resolutions between 6.9 and 27 arcmin. Based on the multi-band photometry of SMSS, the Two Micron All Sky Survey, the Wide-Field Infrared Survey Explorer Survey and the Gaia mission, we have estimated values of the $r$-band extinction for $sim$ 19 million stars with the spectral energy distribution (SED) analysis. Together with the distances calculated from the Gaia data release 2 (DR2) parallaxes, we have constructed a three-dimensional extinction map of the southern sky. By combining our 3D extinction map with those from the literature, we present an all-sky 3D extinction map, and use it to explore the 3D distribution of the Galactic dust grains. We use two different models, one consisting a single disk and another of two disks, to fit the 3D distribution of the Galactic dust grains. The data is better fitted by a two-disk model, yielding smaller values of the Bayesian Information Criterion (BIC). The best fit model has scale heights of 73 and 225 pc for the thin and thick dust disks, respectively.