Pelican's documentation states:
For Markdown, include the language identifier just above the code block, indenting both the identifier and code:
A block of text.
:::identifier <code goes here>
The specified identifier (e.g. python, ruby) should be one that appears on the list of available lexers.
Of course, an extra level of indent is needed to nest that code block in a list. Markdown's indentation level is 4 spaces, so 4 spaces to nest inside a list plus 4 spaces to make it a code block = 8 spaces of indent.
Therefore this should do the trick (with spaces represented by "·" for illustrative purposes):
1. Text 1
2. Text 2
········
:::python
········#Code Here
3. Text 3
You could also use tabs (represented by "→" for illustrative purposes):
1. Text 1
2. Text 2
→→
:::python
→→#Code Here
3. Text 3
If you are still not getting syntax highlighting, are you sure you installed all of the dependencies? Code highlighting is done by Pygments which needs to be installed in addition to Python-Markdown.
You also need to make sure that you have created/copied Pygments compatible css files to your project and linked to them from your html templates. I'm not sure if Pelican gives you this by default or not, but without it, the highlighting won't be visible even if it is there.