We show that 3-Sasaki structures admit a natural description in terms of projective differential geometry. First we establish that a 3-Sasaki structure may be understood as a projective structure whose tractor connection admits a holonomy reduction, satisfying a particular non-vanishing condition, to the (possibly indefinite) unitary quaternionic group Sp(p, q). Moreover, we show that, if a holonomy reduction to Sp(p, q) of the tractor connection of a projective structure does not satisfy this condition, then it decomposes the underlying manifold into a disjoint union of strata including open manifolds with (indefinite) 3-Sasaki structures and a closed separating hypersurface at infinity with respect to the 3-Sasaki metrics. It is shown that the latter hypersurface inherits a Biquard–Fefferman conformal structure, which thus (locally) fibers over a quaternionic contact structure, and which in turn compactifies the natural quaternionic Kähler quotients of the 3-Sasaki structures on the open manifolds. As an application, we describe the projective compactification of (suitably) complete, non-compact (indefinite) 3-Sasaki manifolds and recover Biquard’s notion of asymptotically hyperbolic quaternionic Kähler metrics.