A rigorous QED evaluation of the two-photon exchange corrections to the g factor of lithiumlike ions is presented. The screened self-energy corrections are calculated for the intermediate-Z region, and its accuracy for the high-Z region is essentially improved in comparison with that of previous calculations. As a result, the theoretical accuracy of the g factor of lithiumlike ions is significantly increased. The theoretical prediction obtained for the g factor of (28)Si(11+) g(th) = 2.000 889 892(8) is in an excellent agreement with the corresponding experimental value g(exp) = 2.000 889 889 9(21) [A. Wagner et al., Phys. Rev. Lett. 110, 033003 (2013).