Finely grate 1 teaspoon orange zest and 1 teaspoon lemon zest and combine in a small bowl. Save remaining lemon for other uses.

Cut the rind and outer white membrane from the oranges, following the curve of the fruit. Cut between the inner membranes to remove orange segments. Cut each segment into thirds and transfer to the bowl with the citrus zest.

Combine the cranberries, sugar, and water in a medium saucepan over medium-high heat. Bring to a boil, stirring occasionally. Cook until all cranberries have popped and mixture thickens slightly, 8-10 minutes.

Stir in the orange segments and citrus zest. Remove from heat and cool cranberry sauce to room temperature.

Chill sauce at least 3 hours before serving to thicken.