Third-order nonlinear optical properties of Fe2O3 colloids were studied with degenerate four wave mixing. It showed that the third-order optical nonlinearities were enhanced clearly after Fe2O3 small particles were claded with a layer of polar molecules, and their third-order nonlinear optical coefficient X(3) for the hydrosol and the organosol were 1.3×10-10 esu and 2.3×10-9 esu respectively. And the enhanced mechanism of the nonlinear effect was analyzed.