This volume constitutes the refereed proceedings of the Third International Conference on Optimization and Learning, OLA 2020, held in Cádiz, Spain, in February 2020. The 23 full papers were carefully reviewed and selected from 55 submissions. The papers presented in the volume focus on the future challenges of optimization and learning methods, identifying and exploiting their synergies,and analyzing their applications in different fields, such as health, industry 4.0, games, logistics, etc.