Using ultrafast transient absorption and time-resolved photoluminescence spectroscopies, we studied multiple exciton generation (MEG) in quantum dots (QDs) consisting of either PbSe, PbS, or a PbSxSe1-x alloy for various QD diameters with corresponding bandgaps (Eg) ranging from 0.6 to 1 eV. For each QD sample, we determine the MEG efficiency, ηMEG, defined in terms of the electron-hole pair creation energy (εeh) such that ηMEG = Eg/εeh. In previous reports, we found that ηMEG is about two times greater in PbSe QDs compared to bulk PbSe, however, little could be said about the QD-size dependence of MEG. In this study, we find for both PbS and PbSxSe1-x alloyed QDs that ηMEG decreases lineally with increasing QD diameter within the strong confinement regime. When the QD radius is normalized by a material-dependent characteristic radius, defined as the radius at which the electron-hole Coulomb and confinement energies are equivalent, PbSe, PbS, and PbSxSe1-x exhibit similar MEG behaviors. Our results suggest that MEG increases with quantum confinement, and we discuss the interplay between a size-dependent MEG rate versus hot exciton cooling.