No, you got it wrong. All the three p orbitals i.e. Px, Py and Pz form sigma as well as pi bonds. Which bond will be formed depends upon how they overlap. If the overlap horizontally such that one lobe of first orbital is overlapping the lobe of another orbital then the bond formed will be sigma whereas if the overlapping occurs laterally or parellaly the bond formed will be pi bond.
I hope it helps .