Nonlinear, three-photon double excitation of He in intense extreme ultraviolet free-electron laser fields (∼24.1 eV, ∼5 TW/cm2) is presented. Resonances to the doubly excited states converging to the He+ N=3 level are revealed by the shot-by-shot photoelectron spectroscopy and identified by theoretical calculations based on the time-dependent Schrödinger equation for the two-electron atom under a laser field. It is shown that the three-photon double excitation is enhanced by intermediate Rydberg states below the first ionization threshold, giving a greater contribution to the photoionization yields than the two-photon process by more than 1 order of magnitude.