Team time trial world champions BMC put in a strong ride on the undulating 24.5-kilometre route from Roanne to Montagny, as Sky found themselves with a task of damage limitation after losing Ian Stannard and Wout Poels early on.
Nicolas Roche appeared to be struggling with the pace, staying at the back of Sky's line-up as an obviously strong Chris Froome took long turns at the front to drive them along. By the line, Sky had given away 35 seconds to BMC.
Astana, with overall contender and 2014 Tour de France champion Vincenzo Nibali, finished in second place at four seconds and Movistar, with Alejandro Valverde and Briton Alex Dowsett, came home in third at five seconds.
Rohan Dennis of BMC now takes the yellow jersey ahead of team-mate and overall race contender Tejay van Garderen. Andriy Grivko (Astana) is third overall at four seconds.
Froome now has his work cut out in the remaining stages of the race to claw back the time deficit over rivals van Garderen, Nibali and Valverde. Defending Dauphiné champion Andrew Talansky also has a tall task ahead of him after his Cannondale-Garmin squad placed seventh at 43 seconds.
The day turned out well for Simon and Adam Yates, after the British twin brothers' Orica-GreenEdge team finished fifth on the stage. They are now 21st and 22nd overall, 23 seconds behind Dennis.
The riders will face a hilly route on Wednesday on the fourth day of the 2015 Critérium du Dauphiné, with the longest stage of the race from Anneyron to Sisteron. Dennis should at least hold on to the race lead until the first mountain stage on Thursday, when the overall contenders will battle it out on the final climb to Pra Loup.
Critérium du Dauphiné 2015, stage three: Roanne to Montagny, 24.5km team time trial
1. BMC Racing in 29-58
2. Astana at 4 secs
3. Movistar at 5 secs
4. Etixx-QuickStep at 18 secs
5. Orica-GreenEdge at 23 secs
6. Team Sky at 35 secs
7. Cannondale-Garmin at 43 secs
8. Lampre-Merida at 47 secs
9. IAM Cycling at 50 secs
10. LottoNL-Jumbo at 54 secs
Overall classification after stage three
1. Rohan Dennis (Aus) BMC Racing in 8-00-37
2. Tejay van Garderen (USA) BMC Racing at same time
3. Anriy Grivko (Kaz) Astana at 4 secs
4. Vincenzo Nibali (Ita) Astana at 4 secs
5. Lieuwe Westra (Ned) Astana at 4 secs
6. Rein Taaramae (Est) Astana at 4 secs
7. Michele Scarponi (Ita) Astana at 4 secs
8. Gorka Izagirre (Spa) Movistar at 5 secs
9. Alejandro Valverde (Spa) Movistar at 5 secs
10. John Gadret (Fra) Movistar at 5 secs
19. Peter Kennaugh (GBr) Team Sky at 23 secs
21. Simon Yates (GBr) Orica-GreenEdge at 23 secs
22. Adam Yates (GBr) Orica-GreenEdge at 23 secs
24. Chris Froome (GBr) Team Sky at 35 secs
27. Andrew Talansky (USA) Cannondale-Garmin at 43 secs
Video: Criérium du Dauphiné stage two highlights
Thank you for reading 5 articles this month* Join now for unlimited access
Enjoy your first month for just £1 / $1 / €1
*Read 5 free articles per month without a subscription
Join now for unlimited access
Try first month for just £1 / $1 / €1