The third-order nonlinear optical response of some ferromagnetic iron oxide (γ-Fe2O3) nanoparticles, naked and coated with poly(sodium 4-styrene sulfonate), dispersed in deionized water has been studied under nanosecond and picosecond laser excitation, both in the visible and in the infrared. The ferrofluids were found to exhibit self-defocusing at 532nm and self-focusing at 1064nm under nanosecond excitation, while their nonlinear optical response was negligible under picosecond excitation. In all cases, the polyelectrolyte coated nanoparticles were found to exhibit significantly enhanced nonlinear optical response, while in the visible, the response is further enhanced due to Fe3+–Fe3+ pair excitations (double exciton) processes.