Graphene is a unique platform for tunable opto-electronic applications thanks to its linear band dispersion, which allows electrical control of resonant light-matter interactions. Tuning the nonlinear optical response of graphene is possible both electrically and in an all-optical fashion, but each approach involves a trade-off between speed and modulation depth. Here, lattice temperature, electron doping, and all-optical tuning of third-harmonic generation are combined in a hexagonal boron nitride-encapsulated graphene opto-electronic device and demonstrate up to 85% modulation depth along with gate-tunable ultrafast dynamics. These results arise from the dynamic changes in the transient electronic temperature combined with Pauli blocking induced by the out-of-equilibrium chemical potential. The work provides a detailed description of the transient nonlinear optical and electronic response of graphene, which is crucial for the design of nanoscale and ultrafast optical modulators, detectors, and frequency converters.