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Of the many epithets used to describe Dionysus in Orphic Hymn XXIX, thrice begotten ("τρίγονον" in the original) stands out:

Bacchus I call, loud-sounding and divine,
Fanatic God, a two-fold shape is thine:
Thy various names and attributes I sing,
O, first-born, thrice begotten, Bacchic king:
Rural, ineffable, two-form'd, obscure,
Two-horn'd, with ivy crown'd, euion, pure.
Bull-fac'd, and martial, bearer of the vine,
Endu'd with counsel prudent and divine:
Triennial, whom the leaves of vines adorn,
Of Jove and Proserpine, occultly born.

Immortal dæmon, hear my suppliant voice,
Give me in blameless plenty to rejoice;
And listen gracious to my mystic pray'r,
Surrounded with thy choir of nurses fair.

The Hymns of Orpheus, Translated by Thomas Taylor

Dionysus is a dying-and-rising god, I could understand being called twice-born. But thrice-born? What is the story here?

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In the Orphic tradition, Dionysus was the son of Zeus and Persephone. As a young boy, he was slain by the Titans, at the behest of Hera. Zeus recovered the boy's heart, made it into a potion and gave it to Semele, who then gave birth to the second incarnation of Dionysus. This tradition includes Egyptian elements, having several elements in parallel with the Osiris myth.

Now, in the Hesiodic tradition - the one Diodorus Siculus calls the "Greek account" - the story is a bit different. The Dionysus born of Zeus and Semele is the first incarnation, and Dionysus is reborn from Zeus' thigh when Semele dies.

The epithet "τρίγονον" points to a reconciliation of the two traditions, a fused version of the story. The older Dionysus, Zagreus, was born of Zeus and Persephone and died at the hands of the Titans. He was then born again when his mortal mother died, and then a third time when he emerged from his father's thigh.

This is also how Dionysus acquired the epithet dimetor (of two mothers):

He was also called Dimetor, they relate, because the two Dionysi were born of one father, but of two mothers. The younger one also inherited the deeds of the older, and so the men of later times, being unaware of the truth and being deceived because of the identity of their names, thought there had been but one Dionysus.

Diodorus Siculus. Library of History (Books III - VIII). Translated by Oldfather, C. H. Loeb Classical Library Volumes 303 and 340. Cambridge, MA, Harvard University Press; London, William Heinemann Ltd. 1935.

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