The problem here is that MathematicaMathematica doesn't recognize {x, y, z}
as some kind of a vector object that should be treated as grouped together; instead, it substitutes in three independent variables, and probably starts integrating them one by one. The result is a very complicated integral.
If you do the coordinate transformation yourself, you can reproduce the result. Simply use $\mathrm dp = \mathrm d\|p\|\|p\|^2\mathrm d\vartheta\sin(\vartheta)$ to transform to spherical, the. The resulting integral can be calculated:
Assuming[pAbs >= 0 && m > 0 && r > 0,
(1/(2*Pi)^3)*Integrate[ (* phi integral *)
Integrate[ (* |p| integral *)
Integrate[ (* theta integral *)
(Exp[I*r*pAbs*Cos[pTheta]]/(pAbs^2 + m^2))*pAbs^2*Sin[pTheta],
{pTheta, 0, Pi}
],
{pAbs, 0, Infinity}
],
{pPhi, 0, 2*Pi}
]
]
$\displaystyle\frac{e^{-mr}}{4\pi r}$$\dfrac{e^{-mr}}{4\pi r}$