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In this paper, a third-order compact gas-kinetic scheme is firstly proposed for three-dimensional computation for the compressible Euler and Navier-Stokes solutions. The scheme achieves its compactness due to the time-dependent gas distribution function in GKS, which provides not only the fluxes but also the time accurate flow variables in the next time level at a cell interface. As a result, the cell averaged first-order spatial derivatives of flow variables can be obtained naturally through the Gauss's theorem. Then, a third-order compact reconstruction involving the cell averaged values and their first-order spatial derivatives can be achieved. The trilinear interpolation is used to treat possible non-coplanar elements on general hexahedral mesh. The constrained least-square technique is applied to improve the accuracy in the smooth case. To deal with both smooth and discontinuous flows, a new HWENO reconstruction is designed in the current scheme by following the ideas in Zhu, 2018. No identification of troubled cells is needed in the current scheme. In contrast to the Riemann solver-based method, the compact scheme can achieve a third-order temporal accuracy with the two-stage two-derivative temporal discretization, instead of the three-stage Runge-Kutta method. Overall, the proposed scheme inherits the high accuracy and efficiency of the previous ones in two-dimensional case. The desired third-order accuracy can be obtained with curved boundary. The robustness of the scheme has been validated through many cases, including strong shocks in both inviscid and viscous flow computations. Quantitative comparisons for both smooth and discontinuous cases show that the current third-order scheme can give competitive results against the fifth-order non-compact GKS under the same mesh. A large CFL number around 0.5 can be used in the present scheme.