The present invention generally relates to golf balls and more particularly to golf balls having multi-layered cores comprising a thermoset rubber center, a thermoplastic intermediate core layer, and a thermoset rubber outer core layer. A cover layer is disposed about the multi-layered core. At least one of the center, intermediate core layer, and outer core layer comprises a polyalkenamer rubber. In one preferred embodiment, the center, intermediate core, and outer core layers have positive hardness gradients. The core layers preferably have different specific gravities. The polyalkenamer rubber may be blended with other rubbers such as polybutadiene, polyisoprene, ethylene propylene diene, and styrene-butadiene rubbers. The polyalkenamer rubber composition helps improve resiliency of the core and provides the ball with a comfortable and soft feel.