Vonn, of Vail, Colo., had won downhill events the previous two days.
"It's good to know that I can do it," Vonn said. "There was definitely a little bit more pressure today because everybody was wanting me to do the three in a row, and I wanted to do it myself, so it's just good to know that I can ski well under pressure ... ."
The U.S. star's winning time was 1:26.69; 2. Anja Paerson of Sweden was second in 1:27.22 and Nadia Fanchini of Italy and Martina Schild of Switzerland tied for third in 1:27.54.
Vonn, who has won 28 World Cup events, became the first woman to win three in a row since Katja Seizinger of Germany achieved a ski-race hat trick in 1997.
Vonn leads second-place Maria Riesch of Germany by 192 points in the World Cup overall standings.
Copyright 2010 by United Press International.