Two-dimensional (2D) material of silicon phosphide (SiP) has recently been shown as a promising optical material with large band gap, fast photoresponse and strong anisotropy. However, the nonlinear optical properties of 2D SiP have not been investigated yet. Here, the thickness-dependent in-plane anisotropic third-harmonic generation (THG) from the mechanically exfoliated 2D layered SiP flakes is reported. The crystal orientation of the SiP flake is determined by the angle-resolved polarized Raman spectroscopy. The angular dependence of the THG emission with respect to the incident linear polarization is found to be strongly anisotropic with the two-fold polarization dependence pattern. Furthermore, the effect of the SiP flake thickness on the THG power is analyzed.