Electronic states and their dynamics are of critical importance for electronic and optoelectronic applications. Here, various relevant electronic states in monolayer MoS2, such as multiple excitonic Rydberg states and free‐particle energy bands are probed with a high relative contrast of up to ≥200 via broadband (from ≈1.79 to 3.10 eV) static third‐harmonic spectroscopy (THS), which is further supported by theoretical calculations. Moreover, transient THS is introduced to demonstrate that third‐harmonic generation can be all‐optically modulated with a modulation depth exceeding ≈94% at ≈2.18 eV, providing direct evidence of dominant carrier relaxation processes associated with carrier–exciton and carrier–phonon interactions. The results indicate that static and transient THS are not only promising techniques for the characterization of monolayer semiconductors and their heterostructures, but also a potential platform for disruptive photonic and optoelectronic applications, including all‐optical modulation and imaging. An advanced optical technique is introduced: broadband static and transient third‐harmonic spectroscopies capture clear fingerprints of relevant electronic states in monolayer semiconductors with an unprecedentedly high contrast ratio up to 200 and further offer a dramatic advance in understanding of exciton dynamics with an ultrafast speed of ≈1 ps and high modulation depth up to 94%.