We show that, in the saturation/Color Glass Condensate framework, odd azimuthal harmonics of the two-gluon correlation function with a long-range separation in rapidity are generated by the higher-order saturation corrections in the interactions with the projectile and the target. At the very least, the odd harmonics require three scatterings in the projectile and three scatterings in the target. We derive the leading-order expression for the two-gluon production cross section which generates odd harmonics: the expression includes all-order interactions with the target and three interactions with the projectile. We evaluate the obtained expression both analytically and numerically, confirming that the odd-harmonics contribution to the two-gluon production in the saturation framework is non-zero.