How can I initialize Multidimensional Array [][] in c# with int [3][3]?

You can create three dimenstional array as shown in below C# code

 // Create a three-dimensional array.
        int[, ,] threeDimensional = new int[3, 5, 4];

Here is the complete sample which may help

https://qawithexperts.com/tutorial/c-sharp/26/c-sharp-multidimensional-array

https://qawithexperts.com/tutorial/c-sharp/27/c-sharp-jagged-array

https://docs.microsoft.com/en-us/dotnet/csharp/programming-guide/arrays/multidimensional-arrays

Above links will clear your concepts related to multi-dimensional array. The one which you were trying to create :

int[][] magicsquare;

Is array of arrays, which is 2-D only, but your requirement is for 3-D array.

To consider differece between 2d array and jagged array

double[,] is a 2d array (matrix) while double[][] is an array of arrays (jagged arrays)