There is no appreciable difference in performance when the underlying hardware is the same, assuming we're talking about a single physical disk.
However, separate logical drives might help you maintain your sanity, and could result in lower physical fragmentation of the SQL-related volumes
First verify if what you're seeing is the same as what SQL Server can see, by running this:
USE tempdb;
EXEC sp_helpfile;
If all 3 of your files are here, you somehow created them there by accident.
TempDB is a 'special' system DB that gets re-generated every time you start the SQL Server service.
Setup TempDB the way you want it, restart the server so TempDB recreates itself and run the above query again, to see if the new settings stuck.
If you want to still add a file somewhere manually you can do this:
ALTER DATABASE tempdb ADD FILE (
NAME = N'LogicalNameHere'
,FILENAME = N'D:\Whatever\tempDB2orWhatever.ndf'
,SIZE = xMB
,FILEGROWTH = xMB
);
If you want to keep all of your TempDB files but just move them around, get the info from sp_helpdb and modify to include your paths/files/names as found here:
USE [master];
GO
ALTER DATABASE tempdb MODIFY FILE (name = tempdev, filename = 'E:\Sqldata\tempdb.mdf');
ALTER DATABASE tempdb MODIFY FILE (name = templog, filename = 'E:\Sqldata\templog.ldf');
Note you should usually have multiple TempDB data files. If you don't, you are risking logical file contention, which is not pretty.
Check out Brent's blog for more info on SGAM and PFS contention.
Best Answer
My Data files are always kept in a separate drive from where the SQL install took place. Therefore, databases like master, model, msdb, and tempdb are always on one drive, while my (user) databases are on (one or more) separate drives.
This is not so much for performance reasons as it is for Disaster Recovery/Security. it is much easier to restore a SQL Instance install than it is to recover the data.
If your SQL install is on either of these drives, I would chose the opposite one. If your SQL install is on neither, then I'd probably chose to add additional space to the 19TB drive (assuming it has more free space than the 3TB drive)