Quantum dots can modify the properties of the whispering gallery mode resonators (WGMRs) used in various potential applications. A deposition of a suitable nanomaterial for the surface functionalization of WGMRs allows for the achievement of high quality (Q) factors. Here, we show that the WGMR surface can be functionalized using quantum dots. We demonstrate that WGMRs covered with thin layers of HgS and PbS quantum dots are suitable for third-harmonic generation due to the high Q factor of the developed microresonators, thus significantly lowering the pumping power required for nonlinear optical interactions.