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In [J. Am. Math. Soc. 16, No. 3, 537--575, appendix 576--579 (2003; Zbl 1069.14019)], \\textit{D. Eisenbud} and \\textit{F.-O. Schreyer} raised the question whether any projective variety supports Ulrich sheaves.  This paper contributes to this question for the case of the Veronese threefold \\(V=(\\mathbb{P}^3,\\mathcal{O}_{\\mathbb{P}^3}(d))\\). In order to do it, the authors relate Ulrich bundles with the well-studied family of instanton bundles on \\(\\mathbb{P}^3\\). In particular, they show there exists a correspondence between Ulrich bundles on \\(V\\) and instanton bundles with natural cohomology and quantum number \\(r(d^2-1)/6\\).  This relation prompts them to conjecture that an Ulrich bundle on \\(V\\) of rank \\(r\\) exists if and only if \\(r(d^2-1)\\) is divisible by \\(6\\). 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