Nonlinear harmonic generation in microcavities offers a compelling route toward energy efficient on-chip short-wavelength coherent light sources, enabled by tight optical confinement within compact mode volumes and flexible dispersion engineering. Tantalum pentoxide (Ta2O5) photonic platforms are particularly promising for realizing such nonlinear processes: their broad transparency window (280-8000 nm) supports broadband operation, their large bandgap suppresses two-photon absorption, and their thick-film deposition capability enables dispersion management–features that can collectively enhance the performance of nonlinear light sources. Here, we demonstrate, to the best of our knowledge, the first efficient third-harmonic generation (THG) in high-Q Ta2O5 microcavities. These microcavities feature smooth surfaces and high loaded Q factors up to 2.67X10^6, thereby facilitating nonlinear interactions. Through dispersion engineering, efficient THG is realized in both suspended microdisks and monolithic microrings under telecom-band continuous-wave laser pumping, as confirmed by optical spectra, visible-light microscopy, and the near-cubic pump-power dependence of the conversion efficiency. This work lays a foundation for chip-scale f-3f self-referencing of frequency combs and next-generation integrated nonlinear photonics.