Not supported. Borderlands 1 (and 2, Pre-Sequel) on Xbox 360 only support 2-player local split-screen (Horizontal / Vertical).
Supports 2-player split-screen (vertical only, performance issues). Still no 3P local.
For 3+ local co-op: Minecraft Dungeons, Castle Crashers, Overcooked 2, Teenage Mutant Ninja Turtles: Shredder's Revenge (4P local).