Is there any software that can show the 3-D relationships between objects near the Sun in the Milky Way out to a few thousand light years?

I am sorry, but I do not know of any such software capable of displaying the 'big picture'. I have, however, entertained the notion of writing such a program. Meanwhile, there are programs available commercially that I believe can display the nearby stars. Look at recent issues of Sky and Telescope<\b> for examples.