Water is the only natural substance found in all three physical states on Earth.
Why it is true
Due to the normal temperatures of our planet, water can be found naturally as solid ice, liquid in the oceans, and invisible vapour in the atmosphere.
Source: Chemistry Basics
Would you rather be asked first?
This is the reading side of the site, so the answer is in the sentence above — that is the whole point of it. Test yourself works the other way round: the question comes on its own, and the fact and the explanation only appear once you have answered.