Creating an interesting object like you see on the right seems like a daunting task. Layering objects on top of objects, arranging the order to make the one shape bigger or smaller than the others. Then getting them all aligned so they fit just like they should.
But this is just one shape. This is using the Multiple Path feature in Illustrator.
Start with any shape you want. This one I drew and then rounded the end points for interest.
Choose a color and set the size of the stroke to what you want.
Also, bring up the appearance panel under the Window Menu > Appearance.
This point size I then set to 80pts. Just enough to make a small space in the middle for the fill.
In the later steps we will add a stroke on top of a stroke and then another stroke on top of that.
In the Appearance Panel, you can see the fill of orange at 80 pts and the Fill.
At the bottom left of the Appearance Panel you will see the Add New Stroke Button. Make sure to click on the TOP MOST STROKE to add another stroke ON TOP of the current orange stroke.
When the Stoke gets added, change the color and the weight to be LESS than stroke weight below it or else it will not appear to have done anything. Any larger stroke will hide the stroke below.
This adds the stroke on top, since the stroke appears above the orange stoke in the Appearance Panel.
This is still the same object, it now has 2 strokes applied to it.
Click the Add Stoke Button again and it will add another stroke on top of the current red stroke.
Choose another color from the drop down menu and also choose a stroke weight smaller than the one it is on top of.
The resulting shape is now 3 strokes on 1 object.
I rounded the corners by selecting the shape with the Direct Selection Tool, and pulling in slightly on the Live Corners to bring the point in toward the center.
Looks like multiple shapes but it just one, nicely aligned and easy to edit.