with open(filename) as fp:
  for line in fp:
    # do something

with open(filename1) as fp1, open(filename2) as fp2, open(filename3) as fp3:
  for l1 in fp1:
    l2 = fp2.readline()
    l3 = fp3.readline()
    # do something

from contextlib import nested
with nested(open(filename1), open(filename2), open(filename3)) as (fp1, fp2, fp3):
  for l1 in fp1:
    l2 = fp2.readline()
    l3 = fp3.readline()
    # do something