O. Palmer Robertson's Nahum, Habakkuk, Zephaniah has put together an excellent treatment of these three minor prophets. He defends views typical among conservative evangelicals, placing the books in the 7th century and defending the unity of composition, each by the single author they claim to be about. His treatment of the theology of these books is probably one of the best among contemporary commentaries.
Robertson tends to emphasize New Testament and later Christian interpretations, usually in a way that I find convincing but occasionally going a little beyond the text. Consider the following example. Coming from a Reformed theological tradition, Robertson defends the Reformation interpretation of justification by faith in Habakkuk, something several of the more mainstream commentaries have sought to undermine. He so emphasizes faith (over faithfulness) that I think he underemphasizes the connection between faith and repentance that some other commentaries seemed to me to get more clearly, but I welcome his attempt to see genuine justification by faith in Habakkuk's prophecy. I didn't notice anything particular to covenant theology as opposed to new covenant theology (the differences between Reformed covenant theologians and Reformed Baptists), though his expertise is in covenant theology.
The biggest criticism I've seen of Robertson's commentary is that he spends too little time on some kinds of matters that commentaries usually treat more fully, particularly linguistic issues. His emphasis on historical matters sometimes crowds out other concerns that an ideal, in-depth commentary would treat more fully. It isn't that he doesn't cover such issues, but sometimes one might want a little more.
I consider Waylon Bailey's NAC on these books to be a little more balanced in its approach, even if I like Robertson's theological emphasis. Bailey also has a chance to interact more fully with scholarship that appeared after Robertson's commentary was already published. Still, I think Robertson deserves a place on the list of the best few commentaries on these books for those who seek to teach them in a Christian setting. Unfortunately, Eerdmans is planning to replace a replacement volume in this series on these three prophets by Thomas Renz (who for all I know will produce an absolutely excellent commentary, but it's at Robertson's expense, which is the only reason I consider it unfortunate; no slight is meant for Renz). It may be several years off, but if you want to purchase Robertson's commentary you might want to do so before Renz's commentary comes out and Robertson's gets discontinued.