The Germans knew essentially nothing. They suspected there was research going on at universities, but that it was laboratory scale and behind them in their work — not a weapons program, and certainly not as large as it actually was. How do we know this? Because the FBI intercepted German spies in early 1945 who had instructions from their handlers on what to find out:

First, where is the heavy water being produced? In what quantities? What method? Who are users?

Second, in what Laboratories is work being carried on with large quantities of uranium? Did accidents happen there? What does protection against Neutronic Rays consist of in these laboratories? What is the material and the strength of coating?

Third, is anything known concerning the production of bodies or molecules out of metallic uranium rods, tubes, plates? Are these bodies provided with coverings for protection? Of what do these coverings consist?

These questions are very telling — they indicate that the Germans thought the US had a program similar to theirs, namely, very small-scale. Questions that would have indicated any knowledge about where the US program was in early 1945 would have been more along the lines of: where are they enriching their uranium; how many nuclear reactors have they built; what is their timeline on building or testing bombs, etc. Not, "what kind of fuel are they experimenting with? Are they having the same kinds of problems we are?" — which is essentially what question #3 is asking.

This backs up what we know from the Farm Hall transcripts, in which German nuclear scientists were rounded up and kept in a bugged manor house after WWII, and listened in on both before and after being told about Hiroshima. The Germans were completely incredulous; they plainly had no clue.

Now, it would be interesting to dig deeper into the Abwehr files and to look at whether they had more indication of rumors than the scientists did, or what their relationship to the scientists was at all. But I haven't seen anybody do this yet. This is something I'd like to do, someday, because the "shadow" of the Manhattan Project was quite large, so it is rather interesting that the Germans missed it entirely (whereas many scientists in other countries saw it, even if only partially). My inclination is the chalk this up to general Abwehr incompetence regarding US-UK intelligence (their track record was not great, for a lot of reasons), mixed with a profound arrogance on behalf of the scientists (if the scientists had believed that the US could be ahead of them, they might have lobbied for more scrutiny on the US; the Soviet scientists did this in the USSR, and the US scientists did this with regard to Germany, and both efforts plainly bore fruit). But it would be interesting to look closer at this, because it is in its own way rather remarkable that they had next to no suspicions.

Anyway, you can see what else I wrote about this a few years ago here, and in the footnotes are both citations and links to many of the documents. You might also find this post of mine interesting, because it pertains to one of the only indications in the Farm Hall transcripts that there might have been a rumor about an American atomic bomb, but it was dismissed by Heisenberg. My very out-there conjecture is that it might have been related to a double-agent in Portugal. Either way, it is an interesting story.

I have seen nothing that indicated that the Japanese had any real intelligence on US atomic weapons research. They knew about the possibility of atomic bombs, for sure, and had a small research program themselves. They clearly didn't expect an atomic bomb to be dropped on them, but whether they possibly had other indications, I don't know (and am unlikely to, unless someone who can read Japanese tackles this subject in some earnestness!).

And I know of nothing that indicates any Italian information about the Manhattan Project.