For the simulations of unsteady flow, the global time step becomes really small with a large variation of local cell size. In this paper, an implicit high-order gas-kinetic scheme (HGKS) is developed to alleviate the restrictions on the time step for unsteady simulations. In order to improve the efficiency and keep the high-order accuracy, a two-stage third-order implicit time-accurate discretization is proposed. In each stage, an artificial steady solution is obtained for the implicit system with the pseudo-time iteration. In the iteration, the classical implicit methods are adopted to solve the nonlinear system, including the lower-upper symmetric Gauss-Seidel (LUSGS) and generalized minimum residual (GMRES) methods. To achieve the spatial accuracy, the HGKSs with both non-compact and compact reconstructions are constructed. For the non-compact scheme, the weighted essentially non-oscillatory (WENO) reconstruction is used. For the compact one, the Hermite WENO (HWENO) reconstruction is adopted due to the updates of both cell-averaged flow variables and their derivatives. The expected third-order temporal accuracy is achieved with the two-stage temporal discretization. For the smooth flow, only a single artificial iteration is needed. For uniform meshes, the efficiency of the current implicit method improves significantly in comparison with the explicit one. For the flow with discontinuities, compared with the well-known Crank-Nicholson method, the spurious oscillations in the current schemes are well suppressed. The increase of the artificial iteration steps introduces extra reconstructions associating with a reduction of the computational efficiency. Overall, the current implicit method leads to an improvement in efficiency over the explicit one in the cases with a large variation of mesh size. Meanwhile, for the cases with strong discontinuities on a uniform mesh, the efficiency of the current method is comparable with that of the explicit scheme.