8-K

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                                  UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549


                                    FORM 8-K



                                 CURRENT REPORT
     Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934


        Date of report (Date of earliest event reported) January 13, 2011


                    First Trust Strategic High Income Fund III
             (Exact Name of Registrant as Specified in its Charter)



       Massachusetts                   811-21994                  74-3195115
(State or Other Jurisdiction    (Commission File Number)        (IRS Employer
     of Incorporation)                                       Identification No.)


   120 East Liberty Drive, Suite 400
           Wheaton, Illinois                                        60187
(Address of Principal Executive Offices)                          (Zip Code)


      Registrant's telephone number, including area code   (630) 765-8000


       ___________________________________________________________________
         (Former Name or Former Address, if Changed Since Last Report.)



Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions (see General Instruction A.2. below):


|_|   Written communications pursuant to Rule 425 under the Securities Act
      (17 CFR 230.425)

|_|   Soliciting material pursuant to Rule 14a-12 under the Exchange Act
      (17 CFR 240.14a-12)

|_|   Pre-commencement communications pursuant to Rule 14d-2(b) under the
      Exchange Act (17 CFR 240.14d-2(b))

|_|   Pre-commencement communications pursuant to Rule 13e-4(c) under the
      Exchange Act (17 CFR 240.13e-4(c))





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Item 7.01    Regulation FD Disclosure.


First Trust Strategic High Income Fund III (the "Fund") is filing herewith a
press release issued on January 13, 2011, as Exhibit 99.1. The press release was
issued by First Trust Advisors, L.P. to report that on January 18, 2011, the
Fund will host a conference call with Brookfield Investment Management, Inc.,
the Fund's investment sub-adviser. The purpose of the call is for the Fund's
portfolio management team to provide an update for the Fund. Details regarding
the conference call are contained in the press release included herein.



Item 9.01    Financial Statements and Exhibits.


     (d)   Exhibits

        Exhibit
        Number        Description

           99.1       Press release of First Trust Advisors, L.P. dated
                      January 13, 2011.





                                   SIGNATURES


Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.

Dated: January 14, 2011          FIRST TRUST STRATEGIC HIGH INCOME FUND III

                                 By:    /s/ W. Scott Jardine
                                        ----------------------------------
                                 Name:   W. Scott Jardine
                                 Title:  Secretary





                                  EXHIBIT INDEX
        Exhibit
        Number        Description

           99.1       Press release of First Trust Advisors, L.P. dated
                      January 13, 2011.

EX-99.1

PRESS RELEASE                                 SOURCE:  First Trust Advisors L.P.


FIRST TRUST ADVISORS L.P. ANNOUNCES PORTFOLIO MANAGER UPDATE CALL FOR FIRST
TRUST STRATEGIC HIGH INCOME FUND, FIRST TRUST STRATEGIC HIGH INCOME FUND II AND
FIRST TRUST STRATEGIC HIGH INCOME FUND III

WHEATON, IL -- (BUSINESS WIRE) -- January 13, 2011 -- First Trust Advisors L.P.
("FTA") announced today that First Trust Strategic High Income Fund (NYSE: FHI);
First Trust Strategic High Income Fund II (NYSE: FHY); First Trust Strategic
High Income Fund III (NYSE: FHO) intend to host a conference call with
Brookfield Investment Management, Inc. ("Brookfield"), the Funds' investment
sub-advisor, on Tuesday, January 18, 2011, at 4:15 P.M. Eastern Time. The
purpose of the call is to hear Brookfield's portfolio management team provide
updates for the Funds and the Market.

- --   Dial-in Number: Domestic (866) 865-6631; International (706) 679-1727; and
     Passcode # 37171507. Please call 10 to 15 minutes before the scheduled
     start of the teleconference.

- --   Telephone Replay: Domestic (800) 642-1687; International (706) 645-9291;
     and Passcode # 37171507. The replay will be available after the call until
     11:59 P.M. Eastern Time on Friday, February 18, 2011.

FTA has served as each Fund's investment advisor since each Fund's inception.
FTA, along with its affiliate First Trust Portfolios L.P., are privately-held
companies which provide a variety of investment services, including asset
management, financial advisory services, and municipal and corporate investment
banking, with collective assets under management or supervision of over $42
billion as of December 31, 2010 through closed-end funds, unit investment
trusts, mutual funds, separate managed accounts and exchange-traded funds.

If you have questions about the Funds that you would like answered on the call,
please email your questions to cefquestions@ftadvisors.com and refer to
Brookfield. Each Fund's daily closing price and net asset value per share as
well as other information can be found at www.ftportfolios.com or by calling
(800) 988-5891.


CONTACT: JEFF MARGOLIN -- (630) 915-6784

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Source:  First Trust Advisors L.P.