The Norwegian won the men's 12.5 km biathlon to go with his titles in the 10K and 20K events.
Raphael Poiree of France took the silver with Germany's Ricco Gross coming home in third.
The combined pursuit incorporates the 10K results and as a result Bjoerndalen started with a 28.9 second lead over Germany's Sven Fischer following Wednesday's win.
Despite two dropped shots in the shooting and the subsequent penalty loops, the 28-year-old was never in trouble and won in a time of 32 minutes 34.6 seconds.
"Throughout the race, I wasn't really worried that the others would catch up with me," Bjoerndalen said after his win.
"But I never thought I would get three gold medals before I came here - it's amazing," he conceded.
"To win three races at an Olympics was hard for me because there were 10-15 people who had a chance to win.
"I had fun out there which I think is important. Sometimes the Olympics can get a bit too serious.
"I was in perfect shape, I shot fast and clean and I skied perfectly. That is why I won."
The win was Bjoerndalen's fourth at Olympic level following his triumph in the sprint event in Nagano.
World Cup leader Poiree, who started ninth, made his way up the field courtesy of some accurate shooting to take silver and a place in the history books.- 43 seconds back.
The Frenchman, who finished 43 seconds back, is now part of the first married couple to win medals at a Winter Olympics while competing for different countries.
His wife, Liv Grete Poiree of Norway, won the silver in Monday's 15K individual race.
"The medal is great for me and my wife because we have put so much into our sport," he said.
Gross came home in third after holding off a stiff challenge from Austria's Ludwig Gredler.