We demonstrated that the epsilon-near-zero (ENZ) aluminum-doped zinc oxide (AZO) thin film exhibited ultrafast nonlinear optical response and efficient third-harmonic generation (THG) experimentally. The AZO film showed sub-picosecond response and broadband wavelength-dependent nonlinear absorption and refraction properties. In addition, the AZO thin film can produce efficient THG with an efficiency of 0.63×10-6 at the ENZ wavelength. The experimental results revealed the exceptional nonlinear optical behavior in AZO thin film, and may provide insights for designing all-optical ultrafast optoelectronic devices.