We performed a study of the nonlinear optical properties of chemically purified chitin and insect cuticle using two-photon excited autofluorescence (TPEF) and second-harmonic generation (SHG) microscopy. Excitation spectrum, fluorescence time, polarization sensitivity, and bleaching speed were measured. We have found that the maximum autofluorescence signal requires an excitation wavelength below 850 nm. At longer wavelengths, we were able to penetrate more than deep into the sample through the chitinous structures. The excitation power was kept below 10 mW (at the sample) in order to diminish bleaching. The SHG from the purified chitin was confirmed by spectral- and time-resolved measurements. Two cave-dwelling, depigmented, insect species were analyzed and three-dimensional images of the cuticular structures were obtained.