The niobium oxide dihalides have recently been identified as a new class of van der Waals materials exhibiting exceptionally large second-order nonlinear optical responses and robust in-plane ferroelectricity. In contrast to second-order nonlinear processes, third-order optical nonlinearities can arise irrespective of whether a crystal lattice is centrosymmetric. Here, we report third harmonic generation (THG) in two-dimensional (2D) transition metal oxide iodides, namely NbOI2 and TaOI2. We observe a comparable THG intensity from both materials. By benchmarking against THG from monolayer WS2, we deduce that the third-order susceptibility is approximately on the same order. THG resonances are revealed at different excitation wavelengths, likely due to enhancement by excitonic states and band edge resonances. The THG intensity increases for material thicknesses up to 30 nm, owing to weak interlayer coupling. After this threshold, it shows saturation or a decrease, due to optical interference effects. Our results establish niobium and tantalum oxide iodides as promising 2D materials for third-order nonlinear optics, with intrinsic in-plane ferroelectricity and thickness-tunable nonlinear efficiency.