I have played with an Arduino / GRBL controller and three stepper motors and it worked for a time. The cheap (probably) Chinese stepper motor drivers are not reliable and one has failed already. What I would like to do is build a better controller and three more reliable stepper drivers. This Old Tony used a PMDX-424 controller and that seems to do the job. It also works well with Mach-4, the CAM software.
Not having a 'proper' CNC mill, I bought a simple very cheap three axis engraving machine off eBay. That works and there is a video alongside of me trying to get it working. Lots of problems with the Z height setting, but enough to prove it ought to work.
PMDX-424, power supply, and stepper motor drivers all assembled in die-cast enclosure. Mach 4 installed on the laptop and it actually all works! Next job is to fit the three stepper motors to the simple 3 axis framework. A short video of the controller working from Mach-4 is alongside.