A subgroup $H$ of index $3$ determines a homomorphism $\text{SL}_2(\mathbb{F}_p) \to S_3$ whose kernel $N = \bigcap_{g \in \text{SL}_2(\mathbb{F}_p)} gHg^{-1}$ is a normal subgroup of index either $3$ or $6$. The image of $N$ in $\text{PSL}_2(\mathbb{F}_p)$ is therefore also a normal subgroup of index $3$ or $6$. For $p \ge 5$ this group is simple and has size larger than $6$, so no such $N$ exists, hence no such $H$ exists.
This leaves two cases $p = 2, 3$. When $p = 2$ we have $\text{SL}_2(\mathbb{F}_2) \cong S_3$ which has $3$ subgroups of index $3$ generated by each transposition. When $p = 3$ we have $|\text{SL}_2(\mathbb{F}_3)| = 24$, so its subgroups of index $3$ are precisely its Sylow $2$-subgroups. I think there are $3$ of them and that they are isomorphic to the quaternion group $Q_8$. (Edit: apparently there is only one.)