How to decline a potential PhD supervisor? I have seen something similar has been asked but I seriously don't know what to do.
I applied to 3 PhD programs all from quite good Universities. For all of them I contacted a potential supervisor, and they agreed to supervise me after a skype interview. Recently I finally got an answer from the best of the 3 Unis and after three interviews and a small project, the professor agreed on supervising me.

Due to some life events I had to wait one month to complete one of the applications, which I think it already pissed off one of the professors.

Obviously, I would like to go for the best University, not only for its ranking but also because of the city itself, the people I know in that city, and the research field which is closer to mine and more interesting for me.

All the professors agreed to supervise me after meeting me for an interview and after deciding a research topic. I have already applied to all 3 of them and I am waiting to know anything about the funding.

I did not want to take the risk of getting no scolarship for the position and missing the deadlines for others possibilities (which would then force me to wait up to one full year, which is really not a good option).

Now I may win more than one scolarship, so:

How can I decline the other two offers? I wasted their time and possibly affected their chance to accept other PhD students. I don't want to sound rude, but the PhD it's a very important choice in my life. I know they invested some time in me and my application.

From the way the talked to me, it looked like they did not consider the idea of me applying to other Universities (some of them even introduced me to the research group). I feel incredibly embarassed to be honest.
I wouldn't say you 'wasted' their time. All supervisors are well aware that most applicants apply to more than one institution at a time; wisely so, especially that PhD admissions for good universities are highly competitive, and one shouldn't risk their chances applying only for one place. 

Unless you made a promise or commitments to be working with them, you've been an applicant and have acted as such. As an applicant you have the option to decline an offer, so this is totally normal.

Therefore, you can contact the other supervisors; the sooner the better so that they can consider their other options too. You can thank them for their time and the interest they had in you, and explain your situation like you did here. They will likely understand the situation (TBH this should be happening a lot for them).