A city's critical infrastructure such as gas, water, and power systems, are largely interdependent since they share energy, computing, and communication resources. This, in turn, makes it challenging to endow them with fool-proof security solutions. In this paper, a unified model for interdependent gas- power-water infrastructure is presented and the security of this model is studied using a novel game-theoretic framework. In particular, a zero-sum noncooperative game is formulated between a malicious attacker who seeks to simultaneously alter the states of the gas-power-water critical infrastructure to increase the power generation cost and a defender who allocates communication resources over its attack detection filters in local areas to monitor the infrastructure. At the mixed strategy Nash equilibrium of this game, numerical results show that the expected power generation cost deviation is 35% lower than the one resulting from an equal allocation of resources over the local filters. The results also show that, at equilibrium, the interdependence of the power system on the natural gas and water systems can motivate the attacker to target the states of the water and natural gas systems to change the operational states of the power grid. Conversely, the defender allocates a portion of its resources to the water and natural gas states of the interdependent system to protect the grid from state deviations.