Nonlinear nanophotonics leverages engineered nanostructures to funnel light into small volumes and intensify nonlinear optical processes with spectral and spatial control. Owing to its intrinsically large and electrically tunable nonlinear optical response, graphene is an especially promising nanomaterial for nonlinear optoelectronic applications. Here we report on exceptionally strong optical nonlinearities in graphene–insulator–metal heterostructures, which demonstrate an enhancement by three orders of magnitude in the third-harmonic signal compared with that of bare graphene. Furthermore, by increasing the graphene Fermi energy through an external gate voltage, we find that graphene plasmons mediate the optical nonlinearity and modify the third-harmonic signal. Our findings show that graphene–insulator–metal is a promising heterostructure for optically controlled and electrically tunable nano-optoelectronic components.