Three-photon fluorescence microscopy (3PFM) has emerged as a promising tool in monitoring the structures and functions of the brain. Compared to the various imaging technologies, 3PFM enables a deep-penetrating depth attributed to tighter excitation confinement and suppressed photon scattering. However, the shortage of three-photon probes with a large absorption cross section (σ3) substantially limits its uses. Herein, CdSe/CdS/ZnS quantum dots (QDs) with enhanced 3PF performance were synthesized via the band gap engineering strategy. The introduction of a CdS interlayer with optimized thickness between the emitting CdSe core and the ZnS shell significantly enhanced the 3P absorption cross section of QDs, which originated from the intrinsic piezoelectric polarization effect and the change of the core/shell structure from type-I to quasi-type-II. In addition, the outer ZnS layer compensated the poor electronic passivation of CdS, providing a high level of passivation for the improvement of quantum yield as well as the 3P action cross section of QDs. Under the excitation of a 1600 nm femtosecond laser, PEGylated CdSe/CdS/ZnS QDs were used for in vivo 3PFM imaging of cerebral vessels with high resolution. A tiny capillary with a diameter of 0.8 μm could be resolved at the imaging depth of 1550 μm in a mouse brain with an opened skull. A penetration depth of 850 μm beneath the skull was also achieved using a mouse model with an intact skull.