All three are grammatically valid. However, the semantics of the first make it unnatural and likely to be met with confusion by a native speaker. If you want a present tense, to say you want help because something is in the process of going wrong, you want the present progressive:
Dad, something is going wrong wrong with the machine. Can you help me fix it?
That means it is going wrong right now, like the machine is behaving very strangely but possibly still functioning. At least, that's the potential nuance. What is more definite is that you are currently interacting with the machine when you say it, or at least observing it in some way.
Your second example, went wrong, is the simple past, and suggests that something has gone wrong at some point in the past. For nuance, this would most likely mean you weren't with the machine when it went wrong. You left it unattended, went back to it later, and something went wrong with it in the meantime.
The third example, has gone wrong, sits somewhere between the two. It's the present perfect, and suggests that it went wrong recently. Maybe you were using at the time, maybe you weren't, but you give the impression that whatever it is has 'finished' going wrong and the machine is now in a settled state. It might be a broken state, or it might look fine but you can tell because of the machine's output that something has gone wrong with it while it was doing whatever.