Methods developed in previous work were used to estimate the mass, trajectory, and atmospheric conditions that produced Heat Shield Rock, the iron meteorite discovered on Mars by the Opportunity rover in January, 2005. We find that Heat Shield Rock encountered Mars at high speed and shallow entry angle, probably at a time when the planet possessed a thicker atmosphere. It entered the atmosphere with a mass of more than 60 kg, underwent significant ablation during atmospheric passage, and ricocheted across the surface upon impact. We conclude that Heat Shield Rock probably represents physical evidence that Mars once had a denser atmosphere.