I once read a fairly interesting take on this: Historical settings are often chosen to wrap the story in a certain context in order to allow the reader to picture the style and theme without having to establish and explain a new setting first, so basically you skip on world building. If you read an analogy to Zeus you will immediately have an image in mind as well as a bunch of characteristics, no need to establish that beforehand.

Now, considering this it makes sense to choose a setting people already know - the 16th centruy Ottoman Empire is certainly interesting, but the average reader might know next to nothing about it and you have to explain everything first.

Why are these three settings used so much? Well, it’s positive feedback! Literature, Theatres and Video Games will select something well known and it receives popularity. In addition, a piece of media using a less-popular setting will have to a) compete with other media to become popular and b) provide plenty of worldbuilding in order to have the setting make sense. A piece of media that both establishes a “new” setting AND is very popular is going to be rare, making the entry of a new mythology/historical setting into mainstream difficult.