Myelin sheaths wrapping axons are key structures that help maintain the propagation speed of action potentials in both central and peripheral nervous systems (CNS and PNS). However, noninvasive, deep imaging technologies visualizing myelin sheaths in the digital skin in vivo are lacking in animal models. 3-photon fluorescence (3PF) imaging excited at the 1700-nm window enables deep imaging of myelin sheaths, but necessitates labeling by exogenous fluorescent dyes. Since myelin sheaths are lipid-rich structures which generate strong third-harmonic signals, in this paper, we perform a detailed comparative experimental study of both third-harmonic generation (THG) and 3PF imaging in the mouse digital skin in vivo. Our results show that THG imaging also enables visualization of myelin sheaths deep in the mouse digital skin, which shows colocalization with 3PF signals from labeled myelin sheaths. Besides its superior label-free advantage, THG does not suffer from photobleaching due to its 3PF property.