I feel it is obvious enough that there was a very general awareness that some sort of project was underway. The Germans were trying to do so themselves, even if they were way behind, and they knew the Allies had scientists who would be able to do the same thing, but what did they know about the project itself, rather than just supposition?
It might be a slight exaggeration, but Soviet penetration might as well have made the project out to be Swiss cheese it feels, but was there anything close to that degree in comparable espionage by Germany or Japan? The former case as far as I'm aware was aided by ideological motivations, Communists, sympathizers, or fellow-travelers who felt they were doing the right thing in providing the USSR with information, but it feels to me at least that Germany, let alone Japan, wouldn't have had access to that kind of motivated, pre-exisiting cadre of potential moles.
So in short, what did they know, how did they know it, and when did they know?
I wrote a blog post on this exact question a few years back. The short answer is: as far as I can tell, if they got a whiff of anything, they never passed it in a useful way to anyone technical-enough to make sense of it. There is some evidence of very loose rumors, but on the whole, there are many indications that nobody really took them seriously. They did, somewhat late in the war, try to ask some of their (very ineffectual) agents that arrived in the US to look into some fission-related issues, but the very questions they asked them to investigate make it clear that they did not have any indication about the size and progress of the US program.
That they did not is not a huge surprise in some ways: the German scientists had estimated, correctly, that it would be an incredible and near-impossible job to successfully make an atomic bomb within the time constraints of the war. They weren't wrong on that point, but they were wrong that the US was unwilling to invest to the degree that might pull it off.
In comparison with the Soviets, the German intelligence effort in the USA was in general pretty poor, but especially with the atomic bomb project. There are reasons for this, both in that Axis foreign intelligence was poorly coordinated and poorly run in general (the OSS ran , and because Axis sympathies were screened out much better by the security clearance system than were Communist sympathies. The Soviets had a decent intelligence collection system, but more importantly they had ample volunteers (moles) within various secret projects. They only had maybe a dozen total moles in the Manhattan Project (out of a total workforce of some 500,000 people), but a few were well-placed, and they had a very large system in place for ferrying information out of the USA and back to Moscow, where it was put into the hands of both intelligence experts and scientific experts (e.g., Kurchatov) for interpretation. The Germans had nothing comparable to this. The fact that the Soviets were Allies is not insignificant; one could be pro-USA and pro-USSR during WWII, and the moles largely were. To be a German double agent would require a more complicated personal choice.
As far as I know, Japan had no indications whatsoever. Again, they assumed that it was not something that could be done.