The invention discloses a nonlinear three-step filtering method for the Mars power descent stage, which comprises the following steps: 1, building a kinetics equation and a measurement equation of the discrete type nonlinear three-step method; 2, presetting the initial value; 3, performing state quantity filtering; 4, performing error filtering of a kinetics system; 5, error filtering of an unknown measurement system of a measurement system; 6, updating the correlation coefficient, and correcting the state estimation and the kinetics error estimation; 7, returning to the step 3 to go ahead till equaling to the time T corresponding to the deadline of the Mars power descent stage, namely, the landing time of the Mars lander, so as to complete the nonlinear three-step filtering method of the Mars power descent stage. The method fully considers the estimation problems about position and speed of a detector of a nonlinear non-Gaussian stochastic system under the condition of errors of the kinetics system and errors of the unknown measurement system in the measurement system during Mars actual power descent, and efficiently ensures the position and speed estimation of the detector of the Mars power descent stage.