Here is a simple 3D puzzle. My grandpa made me one out of wood a while back, now I cnc'ed one out of plastic. You don't really need a CNC machine to do this; you can use a bandsaw, scroll saw, small coping saw, drill etc. The design of the pieces are simple.

I posted the SketchUp, DXF files, and two pictures. I designed the pieces to be cut out of 1/2" thick material. I used a 1/4" bit on my routing machine but you can use whatever works for your setup. You will need to either round off the outer edges with a file, or use a square file on the inside corners for the pieces to fit since the CNC will round those inside corners. Those of you with 3d printers wont have this problem. Dont get too crazy with the file and sand paper... Keep the tolerances close. You can rescale the parts either smaller or larger. Mine are 4" by 1.5" I believe. Just keep in mind the thickness of your material. You may need to change some of the dimensions on the parts.

There are three pieces and they go together fairly easily. It should only take a couple minutes at most to figure out how to put it together. If you simply cannot figure it out, have someone else take a try. Enjoy.