HUSV First Trust Horizon Managed Volatility Domestic Etf

Rule 497(j)
Registration Nos. 333-176976 and 811-22245

Re:             First Trust Exchange-Traded Fund III
            Registration Nos. 333-176976 and 811-22245
           ----------------------------------------------

Ladies and Gentlemen:

On behalf of First Trust Exchange-Traded Fund III (the "Registrant"), in accordance with the provisions of Rule 497(j) of Regulation C under the Securities Act of 1933, as amended, (the "Securities Act"), this letter serves to certify that the most recent amendment to the Registration Statement on Form N-1A (the "Registration Statement") of the Registrant does not differ from that which would have been filed pursuant to Rule 497(c) of the Securities Act. The Registration Statement relates to First Trust Merger Arbitrage ETF, a series of the Registrant. Post-Effective Amendment No. 108, which was the most recent amendment to the Registration Statement and was filed electronically with the Securities and Exchange Commission on January 31, 2020.

If you have any questions or comments, please telephone the undersigned at
(312) 845-3484.

Very truly yours,

CHAPMAN AND CUTLER LLP

By: /s/ Morrison C. Warren
   -----------------------------
       Morrison C. Warren

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