Summary:We compute cohomology spaces of Lie algebras that describe differential invariants of third order ordinary differential equations. We prove that the algebra of all differential invariants is generated by 2 tensorial invariants of order 2, one invariant of order 3 and one invariant of order 4. The main computational tool is a Serre-Hochschild spectral sequence and the representation theory of semisimple Lie algebras. We compute differential invariants up to degree 2 as application