UPDATE: Content Drop 1 in December 2017 added the Space Elevator.
There are three megastructures available to build: the Stadium, the Earth History Center, and the Space Elevator. All require a Research Center be built first.
These buildings require a large number of nanites to build as well as a fair amount of power to make them functional. The Stadium needs 400 nanites and 90 power. The Earth History Center needs 360 nanites and 72 power. The Space Elevator needs 900 nanites and 44 power.
You can build three of the same building or any combination of the three. All three structures need to be powered and present at the same time for the achievement to pop.