The performance characteristics of the autopilot must have a fast response to intercept a maneuvering target and reasonable robustness for system stability under the effect of un-modeled dynamics and noise. By the conventional approach, the three-loop autopilot design is handled by time constant, damping factor and open-loop crossover frequency to achieve the desired performance requirements. Note that the general optimal theory can be also used to obtain the same gain as obtained from the conventional approach. The key idea of using optimal control technique for feedback gain design revolves around appropriate selection and interpretation of the performance index for which the control is optimal. This paper derives an explicit expression, which relates the weight parameters appearing in the quadratic performance index to the design parameters such as open-loop crossover frequency, phase margin, damping factor, or time constant, etc. Since all set of selection of design parameters do not guarantee existence of optimal control law, explicit inequalities, which are named the optimality criteria for the three-loop autopilot (OC3L), are derived to find out all set of design parameters for which the control law is optimal. Finally, based on OC3L, an efficient gain selection procedure is developed, where time constant is set to design objective and open-loop crossover frequency and phase margin as design constraints. The effectiveness of the proposed technique is illustrated through numerical simulations.