Covalent compounds are formed when atoms share electrons to form bonds. In covalent compounds, the atoms are held together by strong covalent bonds.

Option 1, Calcium oxide, is not a covalent compound because it is formed by the transfer of electrons from the calcium atom to the oxygen atom, resulting in the formation of ionic bonds.

Option 2, Sodium nitride, is also not a covalent compound because it is formed by the transfer of electrons from the sodium atom to the nitrogen atom, resulting in the formation of ionic bonds.

Option 3, Silicon carbide, is a covalent compound. Silicon and carbon atoms share electrons to form covalent bonds, holding the compound together.

Option 4, Zinc sulphide, is not a covalent compound because it is formed by the transfer of electrons from the zinc atom to the sulfur atom, resulting in the formation of ionic bonds.

Therefore, the correct answer is option 3, Silicon carbide, because it is a covalent compound where the atoms share electrons to form bonds.