It is shown, both theoretically and experimentally, that during laser pulse filamentation in air an intense ultrashort third-harmonic pulse is generated forming a two-colored filament. The third-harmonic pulse maintains both its peak intensity and energy over distances much longer than the characteristic coherence length. We argue that this is due to a nonlinear phase-locking mechanism between the two pulses in the filament and is independent of the initial material wave-vector mismatch. A rich spatiotemporal propagation dynamics of the third-harmonic pulse is predicted. Potential applications of this phenomenon to other parametric processes are discussed.