In my loadout right now, I've got an assault rifle, a shotgun, and a heavy pistol. (I've double checked that I'm supposed to be carrying 3, so it's not just an inventory brain-fart issue) According to the hint tips I've seen, I can hold X to switch between my weapons.
However, Shepard just keeps reaching for either the pistol or the assault rifle! How do I get him to pull out the shotgun? I've tried holding the button longer or just tapping it, but tapping just reloads, and regardless of how long I hold, he still switches between the pistol and the AR.