We show, both theoretically and experimentally, that for a turbid tissue medium where Mie scattering is dominant, multiple scattering not only reduces the illumination power in the forward direction but also exhibits an anisotropic distribution of scattered photons. Thus, a signal level under two-photon excitation drops much faster than that under single-photon excitation although image resolution is much higher in the former case. As a result, the penetration depth under two-photon excitation is limited by the strength of two-photon fluorescence and is not necessarily larger than that under single-photon excitation.