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Electronic states and their dynamics are of critical importance for electronic and optoelectronic applications. Here, we probe various relevant electronic states in monolayer MoS2, such as multiple excitonic Rydberg states and free-particle energy bands, with a high relative contrast of up to >200 via broadband (from ~1.79 to 3.10 eV) static third-harmonic spectroscopy, which is further supported by theoretical calculations. Moreover, we introduce transient third-harmonic spectroscopy 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. Our results indicate that static and transient third-harmonic spectroscopies 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.