The United Kingdom is currently a coalition between Conservatives and Liberal Democrats (3rd party). Labour is the opposition.
Germany is probably the biggest example where CDU/CSU, SPD, FDP polled 33.8%, 23.0% and 14.6% respectively. The Greens and The Left poll over10% and have been the power brokers in forming coalitions. Merkel has a coalition of CDU/CSU and FDP.
Similarly France is a coalition government of several parties.
Oh and that is just three major democracies. Italy, Spain, Greece, Canada and numerous others are multi-party democracies.