Parameter uncertainties which may lead to divergence of traditional Kalman filters during Mars entry are investigated in this paper. To achieve high precision navigation, a Derivative-free Nonlinear version of an Extended Recursive Three-Step Filter (DNERTSF) is introduced, which suits nonlinear systems with arbitrary parameter uncertainties. A DNERTSF can estimate the state and the parameters simultaneously, and Jacobian and Hessian calculations are not necessary for this filter. Considering the uncertainties in atmosphere density, ballistic coefficient and lift-to-drag ratio, a numerical simulation of Mars entry navigation is carried out. Compared with the standard Unscented Kalman Filter (UKF), DNERTSF can effectively reduce the adverse effects of parameter uncertainties and achieve a high navigation accuracy performance, keeping position and velocity estimation errors at a very low level. In all, the DNERTSF in this paper shows good advantages for Mars entry navigation, providing a possible application for a future Mars pinpoint landing.