Most practical reservoir simulation studies are performed using the so-called black oil model, in which the phase behavior is represented using solubilities and formation volume factors. We extend the multiscale finite-volume (MSFV) method to deal with nonlinear immiscible three-phase compressible flow in the presence of gravity and capillary forces (i.e., black oil model). Consistent with the MSFV framework, flow and transport are treated separately and differently using a sequential implicit algorithm. A multiscale operator splitting strategy is used to solve the overall mass balance (i.e., the pressure equation). The black-oil pressure equation, which is nonlinear and parabolic, is decomposed into three parts. The first is a homogeneous elliptic equation, for which the original MSFV method is used to compute the dual basis functions and the coarse-scale transmissibilities. The second equation accounts for gravity and capillary effects; the third equation accounts for mass accumulation and sources/ sinks (wells). With the basis functions of the elliptic part, the coarse-scale operator can be assembled. The gravity/capillary pressure part is made up of an elliptic part and a correction term, which is computed using solutions of gravity-driven local problems. A particular solution represents accumulation and wells. The reconstructed fine-scale pressure is used to compute the finescale phase fluxes, which are then used to solve the nonlinear saturation equations. For this purpose, a Schwarz iterative scheme is used on the primal coarse grid. The framework is demonstrated using challenging black-oil examples of nonlinear compressible multiphase flow in strongly heterogeneous formations.