We're not shown that Zathras brought the Triluminaries, but they were aren't explicitly
shown that he brought the Chrysalis device with him, either, but he clearly did since it is used at the end of the episode. And why assume that he brings one
Triluminary (the one used in the Chrysalis device) but not the other two? They happen not to get used at that point, but if Zathras has access to one Triluminary, surely he has access to the rest of the set.
That much is implied in what's seen on-air, but in fact JMS has confirmed that Zathras brings both the Chrysalis device (pre-assembled) and the Triluminaries aboard the White Star
from his shuttle. The large box he brings up actually has the same triangle/circle symbol often seen on Minbar on its side, but the angles chosen for the final edit don't make this as clear as JMS intended.
So it seems that the Triluminaries and the Chrysalis device are both created on, or at least delivered to, Epsilon III at some point between the end of Valen's Shadow War and 2260. In 2260 they go back in time with Valen and Zathras, and after the war pass into the hands of the Grey Council. In 2257 or 58 the pieces of the Chrysalis device are delivered to Delenn, who spends the better part of a year assembling them in her spare time.
Near the end of the year she is given one of the "spare" Triluminaries (the Minbari seem to use only one of them at any given time) to activate the Chrysalis device. After the Minbari Civil War both the device and the Triluminaries are presumably given into the keeping of the restored Grey Council. I suspect the Chrysalis device is never used again.
Who built all this stuff? The obvious suspects are the Vorlons. The Great Machine on Epsilon III seems to have been built when and where it was primarily to facilitate Sinclair's journey through time. Zathras is closely associated with that journey, he supplies the Chrysalis and the Triluminaries, etc. The Great Machine seems to have been built hundreds of years ago, but after the last Shadow War. At the end of the last Shadow War, the only people who knew that Babylon 4 was someday going to come back in time, and where the rift was, and where Babylon 5 would be built were Valen, Zathras, and the Vorlons. And I don't think Valen and Zathras (for all that Zathras knew more about the GM than even Draal did) were capable of building the GM and the other things.