SOmeone already mentioned Electrum and I can't recommend any better wallet than that which you can use in all three clients. Combined with the mycelium app in android and for IOS. Other than electrum there are only web wallet like blockchain where you can use in all three.
Can you use the same wallets with Electrum and MyCelium? I know in theory you can have them generate the same private keys, but is that actually working?
Jhanzo is correct. You can import the private key from electrum to mycelium so in that way you can have access to the address using mycelium as wallet. BTW, there is this green address wallet which have a windows, mac and android client. I think it's also a good wallet since it is listed on wallet recommendation. I haven't tried it yet tho. You can see more about it here:
https://greenaddress.it/en/