We demonstrate that the nonlocal dielectric response of metal, comparing with the traditional local model, will significantly boost the third-order harmonic generation (THG) from gold nanowires of rough surface by a factor of several orders of magnitude. The enhancement is probably due to the penetrated field into the fine nanostructures on the metal surface in nonlocal model. The anisotropy THG efficiency versus the angle of incidence is also demonstrated due to the inhomogeneous surface morphology. The possible ways to verify the nonlocal effect to the THG are demonstrated. The results have a general significance in explaining the experimental observations.