We investigate infrared properties of asymptotic giant branch (AGB) stars in our Galaxy and the Magellanic Clouds using various infrared observational data and theoretical models. We use catalogs for the sample of 4996 AGB stars in our Galaxy and about 39,000 AGB stars in the Magellanic Clouds from the available literature. For each object in the sample, we cross-identify the 2MASS, WISE, and Spitzer counterparts. To compare the physical properties of O-rich and C-rich AGB stars in our Galaxy and the Magellanic Clouds, we present IR two color diagrams (2CDs) using various photometric data. We perform radiative transfer model calculations for AGB stars using various possible parameters of central stars and dust shells. Using dust opacity functions of amorphous silicate and amorphous carbon, the theoretical dust shell models can roughly reproduce the observations of AGB stars on various IR 2CDs. Compared with our Galaxy, we find that the Magellanic Clouds are deficient in AGB stars with thick dust shells. Compared with the Large Magellanic Cloud (LMC), the Small Magellanic Cloud (SMC) is more deficient in AGB stars with thick dust shells. This could be because the Magellanic Clouds are more metal poor than our Galaxy and the LMC is more metal rich than the SMC. We also present IR properties of known pulsating variable. Investigating the magnitude distributions at MIR bands for AGB stars in the Magellanic Clouds, we find that the SMC is more deficient in the bright AGB stars at MIR bands compared with the LMC. features. The spectral energy distributions (SEDs) of O-AGB stars show 10 µm and 18 µm features due to amorphous silicate dust. Low mass-loss rate O-AGB (LMOA; M ∼ 10 −8 − 10 −6 M /yr) stars with thin dust envelopes show the emission features and high mass-loss rate O-AGB (HMOA;Ṁ ∼ 10 −5 −10 −4 M /yr) stars with thick dust envelopes show the absorption features at the same wavelengths (e.g., Suh 1999). The detailed SEDs of LMOA stars can be reproduced by the silicate dust with a mixture of amorphous alumina (Al 2 O 3