The third harmonic of a few-cycle pulse, generated at different dielectric surfaces, is investigated using interferometric frequency-resolved optical gating. We present direct experimental evidence for a non-instantaneous nonlinear response in a TiO2 thin film whereas surface third-harmonic generation in a SiO2 sample does not show any indication for non-instanteneity. To the best of our knowledge, this constitutes the first report of a non-instantaneous nonlinear optical response of a dielectric optical material.