AbstractGraphene 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.