A chain of quantum dots (QDs) in semiconductor-superconductor hybrid systems can form an artificial Kitaev chain hosting Majorana bound states (MBSs). These zero-energy states are expected to be localized on the edges of the chain, at the outermost QDs. The remaining QDs, comprising the bulk, are predicted to host an excitation gap that protects the MBSs at the edges from local on-site perturbations. Here we demonstrate this connection between the bulk and edges in a minimal system, by engineering a three-site Kitaev chain in a two-dimensional electron gas. Through direct tunnelling spectroscopy on each site, we show that the appearance of stable zero-bias conductance peaks at the outer QDs is correlated with the presence of an excitation gap in the middle QD. Furthermore, we show that this gap can be controlled by applying a superconducting phase difference between the two hybrid segments and that the MBSs are robust only when the excitation gap is present. We find a close agreement between experiments and the original Kitaev model, thus confirming key predictions for MBSs in a three-site chain.