The Mezmaiskaya cave is located on the North Caucasus near the border that divides Europe and Asia. Previously, fossil remains for two Neanderthals were reported from Mezmaiskaya Cave. A tooth from the third archaic hominin specimen (Mezmaiskaya 3) was retrieved from layer 3 in Mezmaiskaya Cave. We performed genome sequencing of Mezmaiskaya 3. Analysis of partial nuclear genome sequence revealed that it belongs to a Homo sapiens neanderthalensis female. Based on a high-coverage mitochondrial genome sequence, we demonstrated that the relationships of Mezmaiskaya 3 to Mezmaiskaya 1 and Stajnia S5000 individuals were closer than those to other Neanderthals. Our data demonstrate the close genetic connections between the early Middle Palaeolithic Neanderthals that were replaced by genetically distant later group in the same geographic areas. Based on mitochondrial DNA (mtDNA) data, we suggest that Mezmaiskaya 3 was the latest Neanderthal individual from the early Neanderthal's branches. We proposed a hierarchical nomenclature for the mtDNA haplogroups of Neanderthals. In addition, we retrieved ancestral mtDNA mutations in presumably functional sites fixed in the Neanderthal clades, and also provided the first data showing mtDNA heteroplasmy in Neanderthal specimen.