Tuning a semiconductor nanomaterial with large two-photon absorption cross section in the near-infrared wavelength and investigating the correlation and origins between its size and third-order nonlinear optical properties are very important in possible applications. In this work, CdSe quantum dots (QDs) with various sizes were successfully prepared, and their size-confined third-order nonlinear optical properties were investigated by Z-scan technique with 100 fs laser pulses at 800 nm wavelength. Both the two-photon absorption and nonlinear refraction were enhanced about 8.1 times with size decrease and then weakened to 2 times with further size decrease. QDs with the diameter of 4.9 nm had the largest nonlinear optical susceptibility of 7.8 × 10-12 esu. The effects of photoinduced dipole moment and local electric field were proposed to explain this trend. And the intrinsic dipole moment and defects in CdSe QDs also had an effect on this nonlinear process.