Single insert Save multiple records with relationships using External ID

apex.java

// Create a guid for each record. 
String guid1 = generateGuid();
String guid2 = generateGuid();
String guid3 = generateGuid();

// Assign a guid as external id to each record
Map<String, MyObject__c> objects = new Map<String, MyObject__c>();
objects.put(guid1, new MyObject(GUID__c = guid1));
objects.put(guid2, new MyObject(GUID__c = guid2));
objects.put(guid3, new MyObject(GUID__c = guid3));

// Set the Relationship object to the Parent record. Not the Parent ID.
objects.get(guid1).ParentMyObj__r = objects.get(guid2);
objects.get(guid2).ParentMyObj__r = objects.get(guid3);

// Insert the Records
insert objects.values();