In this paper, we investigate the dynamics of coalition formation and the dynamic stability of the coalitions in three-player zero-sum games in which the players are allowed to collude or form a coalition. By letting the game be played repeatedly and allowing the coalition break-up and reformation during the process, we investigate the coalition dynamics in games with players possessing strong incentive to collude and prove that all the three nontrivial coalition structures are dynamically Nash stable and will not be deviated by the farsighted players. Our findings reveal that the stability of coalitions in games is closely related to the future anticipated by the players. We also derive sufficient conditions for the existence of dynamically stable coalitions which depends only on the game itself.