We present the theory of three-photon circular dichroism (3PCD), a novel non-linear chiroptical property not yet described in the literature. We derive the observable absorption cross section including the orientational average of the necessary seventh-rank tensors and provide origin-independent expressions for 3PCD using either a velocity-gauge treatment of the electric dipole operator or a length-gauge formulation using London atomic orbitals. We present the first numerical results for hydrogen peroxide, 3-methylcyclopentanone (MCP) and 4-helicene, including also a study of the origin dependence and basis set convergence of 3PCD. We find that for the 3PCD-brightest low-lying Rydberg state of hydrogen peroxide, the dichroism is extremely basis set dependent, with basis set convergence not being reached before a sextuple-zeta basis is used, whereas for the MCP and 4-helicene molecules, the basis set dependence is more moderate and at the triple-zeta level the 3PCD contributions are more or less converged irrespective of whether the considered states are Rydberg states or not. The character of the 3PCD-brightest states in MCP is characterized by a fairly large charge-transfer character from the carbonyl group to the ring system. In general, the quadrupole contributions to 3PCD are found to be very small.