This is a well-known subject. 2nd, 4th, 8th, 16th and so on harmonics are known to be euphonic.There is a video somewhere on YouTube where Neve talks about Harmonic distortion and the BS that it is to track THD on anything. He references an old book from the 30s or 40s about building your own radios, where the author lists something like the first 15 order harmonics with maximum acceptable distortions. He also makes a point about even-order harmonic distortion being much easier on the ear than odd order ones. The jist is that a fraction of the amount of say 7th order harmonic distortion is way more audible and gross than a much larger amount of 6th or 8th order.
Third on its own is not bad, as well as 6th and 12th, but as much as the ratio becomes uneven, the ugliest it sounds, 5th, 7th and 11th being most noticeable.
But THD is just a tiny part of the picture. The same non-linearity that would produce mild 2nd and 3rd harmonics results in ugly intermodulation distortion.
For example a very smooth Cmajor chord (C E G or 523Hz, 659 Hz and 783 Hz)) would generate non-harmonic products at 124 Hz (about B) and 136 Hz (about C#). Anybody with even vague musical knowledge knows it's not good. Try to play B, C and C# on the piano (3 adjacent keys).