A friend who is into puzzles pointed me at this 3D puzzle http://www.cs.tau.ac.il/~efif/applications/puzzles/knot/
so I whipped it up in a few minut...es in OpenSCAD.
There is a sheet containing all the parts, as long as you don't mind the parts all the same color and you have a big enough print bed. Otherwise print... them individually. The parts should slide snugly through each other. If needed you can adjust the unit size and tolerance parameter in the scad file or via the thingiverse customizer.