Under the effective mass approximation, the analytic expression for the third-harmonic generation (THG) in cylindrical quantum dots was derived by using the density matrix method. The numerical calculations were performed on a cylindrical GaAs/Al_βGa_ 1-βAs quantum dot with different incident photon energy, polarizations, and under various dot dimensions and Al concentrations. It is found that the THG is more than two orders of magnitude larger than that of bulk GaAs under appropriate conditions.