A third-order theory has been developed to study capillary instability of a liquid jet. The result shows that the asymmetrical development of an initially sinusoidal wave is a non-linear effect with generation of higher harmonics as well as feedback into the fundamental. The growth of the surface wave is found to depend explicitly on the dimensionless initial amplitude of the disturbance and the dimensionless wave-number k of the wave. For the same initial disturbance, the wave is found to have a maximum growth rate at k = 0·7 in agreement with the linearized theory. For the same wave-number, the growth is proportional to the initial amplitude of the disturbance. The cut-off wave-number and the fundamental frequency (or growth rate for the unstable case) of the wave for a given k are found to be different from the linearized theory. Furthermore, at the cut-off wave-number, the present theory shows the disturbance experiences a growth which is proportional to t2. The excellent agreement between Donnelly & Glaberson's experiment and Rayleigh's linearized theory is found to be due to their method of measurement.