Yes, it is quite common for this to happen for a number of reasons. You pay taxes on your total income, not based on each W2 entry. The first cause is due to the way the standard deduction and personal exemption works in our taxing system. If you are single, then the first $10,350 of your income is not taxed because of standard deduction ($6,300) and your personal exemption ($4,050). And these amounts are more if your are married filing jointly or head of household or have dependent exemptions.
So, when you entered your first W2, you likely didn’t pay tax on a good portion of that income, which leads to getting more of your Federal withholding back. But, then when you added your second and third W2, your taxable income increased as well as your tax liability. So, instead of being able to get more withholding back, you had to use it to pay tax, which is why your refund dropped.
Also, as your taxable income increases, you may even get placed into a higher tax bracket. You may also lose eligibility for income-based tax credits such as the Earned Income Credit or lose the ability to claim certain deductions as your income increases.
