The Concerto n. 3 for Violin and Piano, written in 1939 for Jascha Heifetz, was the first work by Castelnuovo-Tedesco after he went on exile to the United States. Unusually, this concerto requires a piano accompaniment instead of an orchestral one.

As the composer writes in his memoirs:"In this concerto, I think, I have caught the pain I felt at leaving my old home, and something of my hope for a life in the new one".