I guess you can loop through your keys like this :
d = {}
a = d
for i in key_lst:
a[i] = {}
if i == key_lst[-1]:
a[i] = value
else:
a = a[i]
print(d)
# {'key1': {'key2': {'key3': 'my_value'}}}
Edit: I guess I misread the question and answered as if the dictionnary wasn't already existing. jpp answer is pretty neat otherwise I guess!