In this paper we define $n$th order Hessian structures on manifolds and study them. In particular, when $n = 3$, we make a detailed study and establish a one-to-one correspondence between {\it third-order Hessian structures} and a {\it certain class of connections} on the second-order tangent bundle of a manifold. Further, we show that a connection on the tangent bundle of a manifold induces a connection on the second-order tangent bundle. Also we define second-order geodesics of special second-order connection which gives a geometric characterization of symmetric third-order Hessian structures.

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