Solar wind alpha-particles are suggested to be the most important source of helium in the Martian atmosphere. Recent hybrid simulations show that as much as 30% of the alpha-particles passing through the planetary cross section can be lost from the solar wind due to charge-exchange processes associated with the Mars/solar wind interaction. We use ion data from the ASPERA-3 instrument on Mars Express to investigate the penetration of alpha-particles into the Martian atmosphere. We conclude that solar wind alpha-particles contribute to the helium observed in the atmosphere. In accordance with simulations we see an asymmetry in the capture efficiency related to the solar wind convection electric field.