We studied third harmonic generation (THG) of melanin solution with concentrations similar to melanocytes in human skin. In contrast to conventional observation of THG at interface, bulk THG was detected inside the solution due to the formation of melanin hydrocolloids. A linear relationship between melanin concentration and THG intensity was found, suggesting THG originated from high-order hyper-Rayleigh scattering. By fitting this linear relationship, third-order hyperpolarizability of melanin hydrocolloids was determined to be three orders larger than that of water. Our result will be useful for interpretation of THG signals in skin and other tissues containing colloidal particles.