Closed orbit theory is a semiclassical technique for explaining the spectra of Rydberg atoms in exteal fields. By developing the closed orbit theory from two degrees of freedom to three non-separable degrees of freedom, we calculated the recurrence spectra of He Rydberg atom in perpendicular electric and magnetic fields. The closed orbits in the corresponding classical system have also been obtained. Fourier transformed spectra of He atoms have allowed direct comparison between the resonance peaks and the scaled action values of closed orbits, whereas the nonhydrogenic resonance can be explained in terms of the new orbits created by the core scattering. The semiclassical result is in good agreement with the quantum spectra, which suggests that our method is correct.