The phenomenon of non-reciprocal critical current in a Josephson device, termed the Josephson diode effect, has garnered much recent interest. Realization of the diode effect requires inversion symmetry breaking, typically obtained by spin-orbit interactions. Here we report observation of the Josephson diode effect in a three-terminal Josephson device based upon an InAs quantum well two-dimensional electron gas proximitized by an epitaxial aluminum superconducting layer. We demonstrate that the diode efficiency in our devices can be tuned by a small out-of-plane magnetic field or by electrostatic gating. We show that the Josephson diode effect in these devices is a consequence of the artificial realization of a current-phase relation that contains higher harmonics. We also show nonlinear DC intermodulation and simultaneous two-signal rectification, enabled by the multi-terminal nature of the devices. Furthermore, we show that the diode effect is an inherent property of multi-terminal Josephson devices, establishing an immediately scalable approach by which potential applications of the Josephson diode effect can be realized, agnostic to the underlying material platform. These Josephson devices may also serve as gate-tunable building blocks in designing topologically protected qubits.