The differences between consecutive squares are consecutive odd numbers. So we have:
$y^2-z^2=$ odd number
$z^2-w^2=$ next odd number
Of course if these were reversed (if the word "next" were moved one equation up) then the solution would be simple; any three consecutive numbers would work. As it is, it's trickier, but certainly not impossible.
Phrasing the equations as I have, a little thought will reveal that any sequence of consecutive odd numbers which can be partitioned such that the smaller numbers add up to an odd number that is $2$ greater than the sum of the larger numbers of the partition, will provide a solution.
What's more, any solution to the original equation will exhibit the characteristic described in the preceding paragraph; the two questions are equivalent.
Borrowing from another existing answer, let's check this solution against my statement above:
$$31^2 + 12^2 = 32^2 + 9^2 = 33^2 + 4^2$$
The odd numbers which comprise the difference between $4^2$ and $9^2$ are $$(4+5), (5+6),(6+7),(7+8),(8+9)$$ or in other terms: $$9,11,13,15,17$$
The odd numbers which comprise the difference between $9^2$ and $12^2$ are $$19,21,23$$
The first five numbers of course add up to $13\times5=65$, and the latter three numbers add up to $21\times3=63$, which illustrates my earlier conclusion.
And, of course, $65$ and $63$ are the differences between $(x+2)^2$ and $(x+3)^2$, and $(x+1)^2$ and $(x+2)^2$, respectively, which tells us that $x$ will equal half of the smaller of these two odd numbers, after the extra $3$ units are subtracted: $$\frac {63-3} 2=30$$ (This is because the smaller number, $63$, equals $(x+1)+(x+2)$.)