Two-dimensional layered materials are in general known to exhibit strong layer dependent nonlinear optical response owing to the crystal symmetry and associated phase matching considerations. Here we report up-conversion of 1550 nm incident light using third-harmonic generation (THG) in multilayered tin di-selenide (SnSe2) and study its thickness dependence by simultaneously acquiring spatially-resolved images in the forward and backward propagation direction. We find good agreement between the experimental measurements and a coupled-wave equation model we have developed when including the effect of Fabry-Perot interference between the SnSe2 layer and the surrounding medium. We extract the magnitude of the third order electronic nonlinear optical susceptibility of SnSe2, for the first time to our knowledge, by comparing its nonlinear response with a glass substrate and find this to be ∼1500 times higher than that of glass. We also study the polarization dependence and find good agreement with the expected angular dependence of nonlinear polarization considering the crystal symmetry of SnSe2. The large nonlinear optical susceptibility of multi-layer SnSe2 makes it a promising material for studying nonlinear optical effects. This work demonstrates that in addition to the large inherent nonlinear optical susceptibility, the high refractive index of these materials and optical absorption above the bandgap strongly influence the overall nonlinear optical response and its thickness dependence characteristics.