The third‐order nonlinear optical properties of sol–gel derived &agr;‐Fe2O3, &ggr;‐Fe2O3, and Fe3O4thin films have been investigated by the third‐harmonic generation method. Especially, the effects of the valence and coordination number of Fe ions on the third‐order nonlinear optical susceptibility, &khgr;(3), have been examined. The &khgr;(3)values of &agr;‐Fe2O3, &ggr;‐Fe2O3, and Fe3O4thin films were 5.8×10−11, 2.1×10−11, and 4.0×10−10esu, respectively, which are the highest values among inorganic oxides reported so far. It was considered that &khgr;(3)of &agr;‐Fe2O3and &ggr;‐Fe2O3was enhanced by the pair excitation process involving the simultaneous excitation of magnetically coupled two neighboring Fe3+ions as well as by virtual transition from O 2porbitals to Fe 3dorbitals while &khgr;(3)of Fe3O4was enhanced by both one‐ and three‐photon resonances. The higher second hyperpolarizability, &ggr;(Fex/yO), was obtained when Fe ions are 3+ rather than 2+ and octahedrally rather than tetrahedrally coordinated by oxygens. ©1996 American Institute of Physics.