Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-6693         

        Nuveen Select Tax-Free Income Portfolio 3         
(Exact name of registrant as specified in charter)


        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)


Jessica R. Droeger—Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)

Registrant's telephone number, including area code:         312-917-7700        

Date of fiscal year end:            3/31          

Date of reporting period:         6/30/06         

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

    Portfolio of Investments (Unaudited)             
    Nuveen Select Tax-Free Income Portfolio 3 (NXR)             
    June 30, 2006             
Principal        Optional Call         
Amount (000)    Description    Provisions (1)    Ratings (2)    Value 
    Alabama – 0.3%             
$ 500    Marshall County Healthcare Authority, Alabama, Revenue Bonds, Series 2002A, 6.250%, 1/01/22    1/12 at 101.00    A–  $  537,420 
    California – 5.2%             
2,105    Azusa Unified School District, Los Angeles County, California, General Obligation Bonds,    7/12 at 100.00    AAA    2,238,478 
     Series 2002, 5.375%, 7/01/21 – FSA Insured             
3,350    California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A,    5/12 at 101.00    A2    3,710,963 
     6.000%, 5/01/14             
3,000    Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed    6/13 at 100.00    BBB    3,360,510 
     Bonds, Series 2003A-1, 6.750%, 6/01/39             
250    Santa Ana Unified School District, Orange County, California, General Obligation Bonds, Series    8/10 at 101.00    AAA    266,823 
     2000, 5.700%, 8/01/29 – FGIC Insured             
8,705    Total California            9,576,774 
    Colorado – 5.9%             
1,735    Colorado Health Facilities Authority, Revenue Bonds, Catholic Health Initiatives, Series    3/12 at 100.00    AA    1,829,280 
     2002A, 5.500%, 3/01/22             
2,265    Colorado Health Facilities Authority, Revenue Bonds, Catholic Health Initiatives, Series    3/12 at 100.00    AA (3)    2,423,822 
     2002A, 5.500%, 3/01/22 (ETM)             
2,700    Denver City and County, Colorado, Airport System Revenue Bonds, Series 1991D, 7.750%, 11/15/13    No Opt. Call    A    3,022,839 
     (Alternative Minimum Tax)             
3,000    Denver Convention Center Hotel Authority, Colorado, Senior Revenue Bonds, Convention Center    12/13 at 100.00    AAA    3,155,820 
     Hotel, Series 2003A, 5.000%, 12/01/24 (Pre-refunded 12/01/13) – XLCA Insured             
325    E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 1997A, 5.000%, 9/01/26 –    9/07 at 101.00    AAA    330,008 
     MBIA Insured             
10,025    Total Colorado            10,761,769 
    Connecticut – 0.2%              
250    Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bridgeport Hospital    7/06 at 100.00    AAA    250,695 
     Issue, Series 1992A, 6.625%, 7/01/18 – MBIA Insured             
    District of Columbia – 0.2%              
15    District of Columbia, General Obligation Bonds, Series 1993E, 6.000%, 6/01/13 –    9/06 at 100.00    AAA    15,025 
     MBIA Insured (ETM)             
235    District of Columbia, General Obligation Refunding Bonds, Series 1994A-1, 6.500%, 6/01/10 –    No Opt. Call    AAA    256,082 
     MBIA Insured             
250    Total District of Columbia            271,107 
    Florida – 5.0%              
5,020    JEA St. John’s River Power Park System, Florida, Revenue Refunding Bonds, Issue 2, Series    10/11 at 100.00    Aa2    5,178,783 
     2002-17, 5.000%, 10/01/18             
4,000    JEA, Florida, Subordinate Lien Electric System Revenue Bonds, Series 2002D, 4.625%, 10/01/22    10/07 at 100.00    Aa3    3,945,760 
9,020    Total Florida            9,124,543 
    Georgia – 0.5%              
1,175    Atlanta, Georgia, Airport Facilities Revenue Bonds, Series 1990, 0.000%, 1/01/10 – MBIA    No Opt. Call    AAA    967,601 
     Insured (Alternative Minimum Tax)             
    Illinois – 18.7%              
275    Chicago Metropolitan Housing Development Corporation, Illinois, FHA-Insured Section 8 Assisted    7/06 at 100.00    AA    281,570 
     Housing Development Revenue Refunding Bonds, Series 1992, 6.850%, 7/01/22             
1,930    Illinois Development Finance Authority, Revenue Bonds, Midwestern University, Series 2001B,    5/11 at 101.00    A–    2,025,593 
     5.750%, 5/15/16             
2,185    Illinois Finance Authority, Revenue Bonds, YMCA of Southwest Illinois, Series 2005, 5.000%,    9/15 at 100.00    AA    2,198,438 
     9/01/31 – RAAI Insured             
4,460    Illinois Health Facilities Authority, Remarketed Revenue Bonds, University of Chicago Project,    8/11 at 103.00    Aa1    4,761,987 
     Series 1985A, 5.500%, 8/01/20             
1,500    Illinois Health Facilities Authority, Revenue Bonds, Evangelical Hospitals Corporation, Series    No Opt. Call    N/R (3)    1,779,090 
     1992C, 6.250%, 4/15/22 (ETM)             
4,000    Illinois Health Facilities Authority, Revenue Bonds, Franciscan Sisters Healthcare    9/06 at 100.00    Aaa    4,018,000 
     Corporation, Series 1992B, 6.625%, 9/01/13 (Pre-refunded 9/01/06) – MBIA Insured             
2,225    Illinois Health Facilities Authority, Revenue Refunding Bonds, Elmhurst Memorial Healthcare,    1/13 at 100.00    A2    2,419,554 
     Series 2002, 6.250%, 1/01/17             
5,700    Illinois, Sales Tax Revenue Bonds, First Series 2002, 5.000%, 6/15/22    6/13 at 100.00    AAA    5,861,652 
2,000    Illinois, Sales Tax Revenue Bonds, Series 1997X, 5.600%, 6/15/17    6/07 at 101.00    AAA    2,050,440 
1,000    Kankakee & Will Counties Community Unit School District 5, Illinois, General Obligation Bonds,    No Opt. Call    Aaa    436,850 
     Series 2006, 0.000%, 5/01/23 – FSA Insured             
6,000    Metropolitan Pier and Exposition Authority, Illinois, Revenue Refunding Bonds, McCormick Place    6/12 at 101.00    AAA    6,181,018 
     Expansion Project, Series 2002B, 5.000%, 6/15/21 – MBIA Insured             
1,300    Schaumburg, Illinois, General Obligation Bonds, Series 2004B, 5.250%, 12/01/34 – FGIC Insured    12/14 at 100.00    AAA    1,352,403 
1,000    Yorkville, Illinois, General Obligation Debt Certificates, Series 2003, 5.000%, 12/15/22 –    12/11 at 100.00    AA    1,009,240 
     RAAI Insured             
33,575    Total Illinois            34,375,835 
    Indiana – 6.4%              
1,000    Franklin Community Multi-School Building Corporation, Marion County, Indiana, First Mortgage    7/14 at 100.00    AAA    1,027,630 
     Revenue Bonds, Series 2004, 5.000%, 7/15/22 – FGIC Insured             
3,500    Indiana Health Facility Financing Authority, Hospital Revenue Bonds, Methodist Hospitals Inc.,    9/11 at 100.00    A+    3,557,330 
     Series 2001, 5.375%, 9/15/22             
2,500    Indiana Health Facility Financing Authority, Hospital Revenue Refunding Bonds, Columbus    No Opt. Call    AAA    2,868,500 
     Regional Hospital, Series 1993, 7.000%, 8/15/15 – FSA Insured             
2,000    Indianapolis Local Public Improvement Bond Bank, Indiana, Waterworks Project, Series 2002A,    7/12 at 100.00    AAA    2,131,700 
     5.250%, 7/01/33 (Pre-refunded 7/01/12) – MBIA Insured             
2,295    Shelbyville Central Renovation School Building Corporation, Indiana, First Mortgage Bonds,    7/15 at 100.00    AAA    2,169,165 
     Series 2005, 4.375%, 7/15/25 – MBIA Insured             
11,295    Total Indiana            11,754,325 
    Iowa – 3.9%             
    Iowa Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds, Series 2001B:             
3,850     5.300%, 6/01/25 (Pre-refunded 6/01/11)    6/11 at 101.00    AAA    4,068,603 
2,850     5.600%, 6/01/35 (Pre-refunded 6/01/11)    6/11 at 101.00    AAA    3,069,194 
6,700    Total Iowa            7,137,797 
    Maine – 0.7%             
1,200    Maine Health and Higher Educational Facilities Authority, Revenue Bonds, Series 1999B, 6.000%,    7/09 at 101.00    AAA    1,274,604 
     7/01/19 – MBIA Insured             
    Massachusetts – 0.9%              
1,000    Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, Ogden Haverhill    12/08 at 102.00    BBB    1,023,710 
     Associates, Series 1998B, 5.200%, 12/01/13 (Alternative Minimum Tax)             
500    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare    7/11 at 101.00    AA–    542,995 
     System Inc., Series 2001C, 6.000%, 7/01/17             
1,500    Total Massachusetts            1,566,705 
    Michigan – 5.1%              
400    East Lansing School District, Ingham County, Michigan, General Obligation Bonds, Series 2000,    5/10 at 100.00    AA (3)    424,076 
     5.625%, 5/01/30 (Pre-refunded 5/01/10)             
4,000    Michigan Housing Development Authority, Single Family Mortgage Revenue Bonds, Series 1996C,    8/06 at 102.00    AA+    4,086,760 
     5.950%, 12/01/17 (Pre-refunded 8/01/06)             
2,900    Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Trinity Health    12/12 at 100.00    AA–    3,004,835 
     Credit Group, Series 2002C, 5.375%, 12/01/30             
235    Michigan State Hospital Finance Authority, Revenue Refunding Bonds, Detroit Medical Center    8/06 at 100.00    BB–    235,103 
     Obligated Group, Series 1993A, 6.500%, 8/15/18             
1,600    Plymouth-Canton Community School District, Wayne and Washtenaw Counties, Michigan, Unlimited    5/09 at 100.00    AA    1,615,744 
     Tax General Obligation School Building and Site Bonds, Series 1999, 4.750%, 5/01/18             
9,135    Total Michigan            9,366,518 
    Mississippi – 0.4%              
725    Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial    9/14 at 100.00    N/R    719,222 
     Healthcare, Series 2004B-1, 5.000%, 9/01/24             
    Nebraska – 1.9%             
3,500    Nebraska Public Power District, General Revenue Bonds, Series 2002B, 5.000%, 1/01/33 –    1/13 at 100.00    AAA    3,561,180 
     AMBAC Insured             
    Nevada – 4.9%              
4,000    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas    1/10 at 100.00    AAA    4,110,960 
     Monorail Project, First Tier, Series 2000, 5.375%, 1/01/40 – AMBAC Insured             
1,680    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.500%, 6/01/22 – FGIC Insured    6/12 at 100.00    AAA    1,792,442 
2,830    Reno, Nevada, Capital Improvement Revenue Bonds, Series 2002, 5.500%, 6/01/22 (Pre-refunded    6/12 at 100.00    AAA    3,052,919 
     6/01/12) – FGIC Insured             
8,510    Total Nevada            8,956,321 
    New Hampshire – 0.3%              
605    New Hampshire Housing Finance Agency, Single Family Mortgage Acquisition Bonds, Series 2001A,    5/11 at 100.00    Aa2    607,898 
     5.600%, 7/01/21 (Alternative Minimum Tax)             
    New Jersey – 1.4%              
    Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,             
    Series 2003:             
1,000     6.750%, 6/01/39    6/13 at 100.00    BBB    1,117,040 
1,355     6.250%, 6/01/43    6/13 at 100.00    BBB    1,462,424 
2,355    Total New Jersey            2,579,464 
    New Mexico – 2.1%             
4,000    University of New Mexico, FHA-Insured Mortgage Hospital Revenue Bonds, Series 2004, 4.625%,    7/14 at 100.00    AAA    3,926,800 
     1/01/25 – FSA Insured             
    New York – 3.3%              
1,520    Dormitory Authority of the State of New York, Second General Resolution Consolidated Revenue    No Opt. Call    A1    1,625,306 
     Bonds, City University System, Series 1990C, 7.500%, 7/01/10             
2,335    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2001A,    9/11 at 100.00    A–    2,443,484 
     5.375%, 9/01/21             
35    New York City, New York, General Obligation Bonds, Series 1991B, 7.000%, 2/01/18    8/06 at 100.00    A+    35,086 
1,850    New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and    6/10 at 100.00    AA–    1,934,305 
     State Contingency Contract-Backed Bonds, Series 2003B-1C, 5.500%, 6/01/15             
5,740    Total New York            6,038,181 
    North Carolina – 4.2%              
5,000    North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2003A, 5.250%,    1/13 at 100.00    AAA    5,249,350 
     1/01/18 – MBIA Insured             
2,345    Piedmont Triad Airport Authority, North Carolina, Airport Revenue Bonds, Series 2001A, 5.250%,    7/11 at 101.00    AAA    2,459,858 
     7/01/16 – FSA Insured             
7,345    Total North Carolina            7,709,208 
    Oklahoma – 1.7%              
3,000    Oklahoma Development Finance Authority, Revenue Bonds, St. John Health System, Series 2004,    2/14 at 100.00    AA    3,044,280 
     5.000%, 2/15/24             
    Pennsylvania – 2.4%              
2,435    Dauphin County Industrial Development Authority, Pennsylvania, Water Development Revenue    No Opt. Call    A–    2,854,185 
     Refunding Bonds, Dauphin Consolidated Water Supply Company, Series 1992B, 6.700%, 6/01/17             
500    Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, Widener University,    7/13 at 100.00    BBB+    512,700 
     Series 2003, 5.250%, 7/15/24             
1,000    Philadelphia Authority for Industrial Development, Pennsylvania, Airport Revenue Bonds,    7/11 at 101.00    AAA    1,054,880 
     Philadelphia Airport System Project, Series 2001A, 5.500%, 7/01/17 – FGIC Insured (Alternative             
     Minimum Tax)             
3,935    Total Pennsylvania            4,421,765 
    South Carolina – 4.9%              
1,500    Lexington County Health Service District, South Carolina, Hospital Revenue Refunding and    11/13 at 100.00    A    1,616,520 
     Improvement Bonds, Series 2003, 6.000%, 11/01/18             
1,500    Medical University Hospital Authority, South Carolina, FHA-Insured Mortgage Revenue Bonds,    8/14 at 100.00    AAA    1,574,205 
     Series 2004A, 5.250%, 8/15/20 – MBIA Insured             
2,500    South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds,    11/12 at 100.00    A–    2,600,150 
     Bon Secours Health System Inc., Series 2002A, 5.625%, 11/15/30             
3,010    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement    5/11 at 101.00    BBB    3,212,573 
     Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/28             
8,510    Total South Carolina            9,003,448 
    South Dakota – 1.1% (             
1,010    South Dakota Health and Educational Facilities Authority, Revenue Bonds, Avera Health, Series    7/12 at 101.00    AAA    1,036,664 
     2002, 5.125%, 7/01/27 – AMBAC Insured             
1,000    South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sioux Valley    11/14 at 100.00    A+    1,019,400 
     Hospitals, Series 2004A, 5.250%, 11/01/34             
2,010    Total South Dakota            2,056,064 
    Tennessee – 1.1%            
2,000    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    4/12 at 101.00    Baa3    2,095,440 
     Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.375%, 4/15/22             
    Texas – 10.6%              
1,500    Central Texas Regional Mobility Authority, Travis and Williamson Counties, Toll Road Revenue    1/15 at 100.00    AAA    1,501,545 
     Bonds, Series 2005, 5.000%, 1/01/45 – FGIC Insured             
2,500    Harris County Health Facilities Development Corporation, Texas, Thermal Utility Revenue Bonds,    11/13 at 100.00    AAA    2,529,825 
     TECO Project, Series 2003, 5.000%, 11/15/30 – MBIA Insured             
3,000    Houston, Texas, Subordinate Lien Airport System Revenue Bonds, Series 2002B, 5.500%, 7/01/18 –    7/12 at 100.00    AAA    3,194,400 
     FSA Insured             
3,125    Katy Independent School District, Harris, Fort Bend and Waller Counties, Texas, General    2/12 at 100.00    AAA    3,154,563 
     Obligation Bonds, Series 2002A, 5.000%, 2/15/32             
400    Killeen Independent School District, Bell County, Texas, General Obligation Bonds, Series    2/08 at 100.00    AAA    405,836 
     1998, 5.000%, 2/15/14             
1,425    Killeen Independent School District, Bell County, Texas, General Obligation Bonds, Series    2/08 at 100.00    AAA    1,451,861 
     1998, 5.000%, 2/15/14 (Pre-refunded 2/15/08)             
4,750    Sam Rayburn Municipal Power Agency, Texas, Power Supply System Revenue Refunding    10/12 at 100.00    AA    4,995,480 
     Bonds, Series 2002A, 5.500%, 10/01/17 – RAAI Insured             
1,750    Texas, General Obligation Bonds, Water Financial Assistance Program, Series 2003A, 5.125%,    8/13 at 100.00    Aa1    1,751,872 
     8/01/42 (Alternative Minimum Tax)             
500    Victoria, Texas, General Obligation Bonds, Series 2001, 5.000%, 8/15/23 – FGIC Insured    8/11 at 100.00    AAA    510,845 
18,950    Total Texas            19,496,227 
    Wisconsin – 1.4%              
2,500    Wisconsin, General Obligation Refunding Bonds, Series 2003-3, 5.000%, 11/01/26    11/13 at 100.00    AA–    2,557,600 
$       167,015    Total Investments (cost $168,473,021) – 94.7%            173,738,791 
    Other Assets Less Liabilities – 5.3%            9,696,212 
    Net Assets – 100%           $   183,435,003 

(1)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or 
    redemption. There may be other call provisions at varying prices at later dates. Certain 
    mortgage-backed securities may be subject to periodic principal paydowns. 
(2)    Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by 
    Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below 
    investment grade. 
(3)    Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency 
    securities which ensure the timely payment of principal and interest. Such investments are 
    normally considered to be equivalent to AAA rated securities. 
N/R    Not rated. 
(ETM)    Escrowed to maturity. 

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions.

At June 30, 2006, the cost of investments was $168,436,997.

Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2006, were as follows:

Gross unrealized:     
   Appreciation    $5,781,514 
   Depreciation    (479,720) 
Net unrealized appreciation (depreciation) of investments    $5,301,794 

Item 2. Controls and Procedures.

  1. The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  2. There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)         Nuveen Select Tax-Free Income Portfolio 3        

By (Signature and Title)*          /s/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         August 28, 2006        

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*         /s/ Gifford R. Zimmerman                    
                                                   Gifford R. Zimmerman
                                                   Chief Administrative Officer (principal executive officer) 

Date         August 28, 2006        

By (Signature and Title)*         /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                   Vice President and Controller (principal financial officer) 

Date        August 28, 2006        

* Print the name and title of each signing officer under his or her signature.