Optical higher harmonic generation, including second harmonic generation and third harmonic generation, leaves no energy deposition to its interacted matters due to an energy-conservation characteristic, providing the "noninvasiveness" nature desirable for biological studies. Combined with its nonlinearity, higher harmonic generation microscopy provides excellent three-dimensional (3D) sectioning capability, offering new insights into the studies of embryonic morphological changes and complex developmental processes. By choosing a laser working in the biological penetration window, here we present a noninvasive in vivo light microscopy with sub-micron 3D resolution and millimeter penetration, utilizing endogenous higher harmonic generation signals in live specimens. Noninvasive imaging was performed in live zebrafish (Danio rerio) embryos. The complex developmental processes within > 1-mm-thick zebrafish embryos can be observed in vivo without any treatment. No optical damage was found even with high illumination after long-term observations and the examined embryos all developed normally at least to the larval stage. The excellent 3D resolution of the demonstrated technology allows us to capture the subtle developmental information on the cellular or sub-cellular levels occurring deep inside the live embryos and larvae. This technique can not only provide in vivo observation of the cytoarchitecture dynamics during embryogenesis with submicron resolution and millimeter penetration depth, but would also make strong impact in developmental and structural biology studies.