Nonlinear optical microscopy is a powerful non-destructive technique that allows to study a wide range of phenomena. Optical third harmonic generation (THG) is mostly known by its applications in investigation of biological structures, while magneto-optical effects in THG are not well recognized. Here we demonstrate high efficiency of the THG probe in studies of magnetic domain structure of epitaxial garnet films. We show that in spite of relatively small values of the magneto-optical effect at the THG wavelength, the THG microscopy may be efficient for the characterization of magnetic surface domains if the THG wavelength falls in the absorption band of a medium. Moreover, the in-depth sensitivity of this probe may be higher as compared to the case of the second harmonic generation microscopy.