Protons and neutrons are made up from quarks (two ‘up’ and one ‘down’ quarks make up a proton, and an ‘up’ and two ‘down’ quarks make up a neutron. These are held together by a very short range force (the ‘strong nuclear force’) quite unlike the gravity and electromagnetism that you experience everyday)
Electrons are not made up of anything smaller.
But as I say, this is just the best current model and it may be improved in the future to include more subtlety.
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