We report what is, to the best of our knowledge, the first experiment on third-order optical difference frequency generation. The nonlinear medium is a phase-matched KTiOPO4 crystal pumped at 532 and 1665 nm in the picosecond regime. The proposed experimental configuration leads to an efficient and pure cubic process, with generation of 4.5 microJ/pulse at 1474 nm. This result opens the way to new quantum experiments on three-photon Greenberger-Horne-Zeilinger entanglement.