We report the first observation of third-harmonic signals from individual gold colloids down to 40 nm diameter. Excited with 1-ps pulses at 1500 nm, the colloids generate 500-nm light, close to the plasmon resonance. The third-harmonic intensity varies as the square of the colloid surface area. Although weak, the third-harmonic signals of gold labels as small as 15 nm in diameter are expected to be accessible with 100-fs pulses. They could be used in microscopy for single-biomolecule tracking.