The principal challenge in using explicitly correlated wavefunctions for molecules is the evaluation of nonfactorizable integrals over the coordinates of three or more electrons. Immense progress was made in tackling this problem through the introduction of a single-particle resolution of the identity. Decompositions of sufficient accuracy can be achieved, but only with large auxiliary basis sets. Density fitting is an alternative integral approximation scheme, which has proven to be very reliable for two-electron integrals. Here, we extend density fitting to the treatment of all three-electron integrals that appear at the MP2-F12/3*A level of theory. We demonstrate that the convergence of energies with respect to auxiliary basis size is much more rapid with density fitting than with the traditional resolution-of-the-identity approach.