<?xml version="1.0"?>
<ownershipDocument>

    <schemaVersion>X0203</schemaVersion>

    <documentType>3</documentType>

    <periodOfReport>2011-05-19</periodOfReport>

    <noSecuritiesOwned>0</noSecuritiesOwned>

    <issuer>
        <issuerCik>0001491925</issuerCik>
        <issuerName>New Mountain Finance Holdings, L.L.C.</issuerName>
        <issuerTradingSymbol>NONE</issuerTradingSymbol>
    </issuer>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001515175</rptOwnerCik>
            <rptOwnerName>New Mountain Investments III, LLC</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001407718</rptOwnerCik>
            <rptOwnerName>New Mountain Capital, L.L.C.</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet1>
            <rptOwnerStreet2></rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001515174</rptOwnerCik>
            <rptOwnerName>New Mountain Guardian AIV, L.P.</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001515173</rptOwnerCik>
            <rptOwnerName>New Mountain Finance AIV Holdings Corp</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001460609</rptOwnerCik>
            <rptOwnerName>New Mountain Guardian Partners, L.P.</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001516015</rptOwnerCik>
            <rptOwnerName>New Mountain Guardian GP, LLC</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001496099</rptOwnerCik>
            <rptOwnerName>New Mountain Finance Corp</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <reportingOwner>
        <reportingOwnerId>
            <rptOwnerCik>0001516498</rptOwnerCik>
            <rptOwnerName>New Mountain Guardian Advisors, L.L.C.</rptOwnerName>
        </reportingOwnerId>
        <reportingOwnerAddress>
            <rptOwnerStreet1>C/O NEW MOUNTAIN CAPITAL, L.L.C.</rptOwnerStreet1>
            <rptOwnerStreet2>787 7TH AVENUE, 48TH FLOOR</rptOwnerStreet2>
            <rptOwnerCity>NEW YORK</rptOwnerCity>
            <rptOwnerState>NY</rptOwnerState>
            <rptOwnerZipCode>10019</rptOwnerZipCode>
            <rptOwnerStateDescription></rptOwnerStateDescription>
        </reportingOwnerAddress>
        <reportingOwnerRelationship>
            <isDirector>0</isDirector>
            <isOfficer>0</isOfficer>
            <isTenPercentOwner>1</isTenPercentOwner>
            <isOther>0</isOther>
            <officerTitle></officerTitle>
            <otherText></otherText>
        </reportingOwnerRelationship>
    </reportingOwner>

    <nonDerivativeTable>
        <nonDerivativeHolding>
            <securityTitle>
                <value>Common Membership Units</value>
            </securityTitle>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>1252964</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>See Note</value>
                    <footnoteId id="F1"/>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeHolding>
        <nonDerivativeHolding>
            <securityTitle>
                <value>Common Membership Units</value>
            </securityTitle>
            <postTransactionAmounts>
                <sharesOwnedFollowingTransaction>
                    <value>20221938</value>
                </sharesOwnedFollowingTransaction>
            </postTransactionAmounts>
            <ownershipNature>
                <directOrIndirectOwnership>
                    <value>I</value>
                </directOrIndirectOwnership>
                <natureOfOwnership>
                    <value>See Note</value>
                    <footnoteId id="F2"/>
                </natureOfOwnership>
            </ownershipNature>
        </nonDerivativeHolding>
    </nonDerivativeTable>

    <derivativeTable></derivativeTable>

    <footnotes>
        <footnote id="F1">New Mountain Finance Corporation directly owns Common Membership Units of New Mountain Finance Holdings, L.L.C. (the &quot;Units&quot;).  New Mountain Guardian Partners, L.P. (&quot;Guardian Partners&quot;) directly owns 1,252,964 shares of common stock of New Mountain Finance Corporation and may be deemed to beneficially own 1,252,964 of the Units owned by New Mountain Finance Corporation.  New Mountain Guardian GP, L.L.C. is the general partner of Guardian Partners, and may be deemed to beneficially own 1,252,964 of the Units owned by New Mountain Finance Corporation.  New Mountain Guardian Advisers, L.L.C. is the investment adviser to Guardian Partners, and may be deemed to beneficially own 1,252,964 of the Units owned by New Mountain Finance Corporation.  New Mountain Guardian GP, L.L.C., and New Mountain Guardian Advisers, L.L.C. each disclaim beneficial ownership of these Units except to the extent of their pecuniary interest therein.</footnote>
        <footnote id="F2">New Mountain Finance AIV Holdings Corporation (&quot;AIV Holdings&quot;) and New Mountain Guardian AIV, L.P. (&quot;Guardian AIV&quot;) (indirectly through its wholly-owned subsidiary, AIV Holdings) own 20,221,938 Units.    New Mountain Investments III, L.L.C. is the general partner of Guardian AIV, and may be deemed to beneficially own these Units.  New Mountain Capital, L.L.C. is the investment adviser to Guardian AIV, and may be deemed to beneficially own these Units. New Mountain Investments III, L.L.C. and New Mountain Capital, L.L.C. each disclaim beneficial ownership of these Units except to the extent of their pecuniary interest therein.</footnote>
    </footnotes>

    <remarks></remarks>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Investments III, L.L.C.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Capital, L.L.C.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Guardian AIV, L.P.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Finance AIV Holdings Corporation</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Guardian Partners, L.P.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Guardian GP, L.L.C.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Guardian Advisors, L.L.C.</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>

    <ownerSignature>
        <signatureName>/s/ Adam Weinstein as Authorized Signatory of New Mountain Finance Corporation</signatureName>
        <signatureDate>2011-05-19</signatureDate>
    </ownerSignature>
</ownershipDocument>
