The space of invariant affine connections on every 3-Sasakian homogeneous manifold of dimension at least seven is described. In particular, the subspace of invariant affine metric connections and the subclass with skew torsion are also determined. To this aim, an explicit construction of all 3-Sasakian homogeneous manifolds is exhibited. It is shown that the 3-Sasakian homogeneous manifolds which admit nontrivial Einstein with skew torsion invariant affine connections are those of dimension seven, that is, $${\mathbb {S}}^7$$, $${\mathbb {R}}P^7$$ and the Aloff–Wallach space $${\mathfrak {W}}^{7}_{1,1}$$. On $${\mathbb {S}}^7$$ and $${\mathbb {R}}P^7$$, the set of such connections is bijective to two copies of the conformal linear transformation group of the Euclidean space, while it is strictly bigger on $${\mathfrak {W}}^{7}_{1,1}$$. The set of invariant connections with skew torsion whose Ricci tensor satisfies that its eigenspaces are the canonical vertical and horizontal distributions, is fully described on 3-Sasakian homogeneous manifolds. An affine connection satisfying these conditions is distinguished, by parallelizing all the Reeb vector fields associated with the 3-Sasakian structure, which is also Einstein with skew torsion on the 7-dimensional examples. The invariant metric affine connections on 3-Sasakian homogeneous manifolds with parallel skew torsion have been found. Finally, some results have been adapted to the non-homogeneous setting.