(Oxy)nitride materials, consisting mainly of transition metal and ionic‐covalent (oxy)nitrides, show a vast number of interesting physical and chemical properties due to their substantial structural diversity. The optical properties of these (oxy)nitrides, in combination with their excellent mechanical strength, thermal properties, and chemical stability, enable (oxy)nitrides to be used in a variety of industrial fields, such as photovoltaic, photothermal, photocatalytic, pigment, lighting and display, optoelectronic, and defense industries. The optical properties are extremely related to the electronic band structure of (oxy)nitrides, and can be varied significantly by changing the chemical composition (e.g., the oxygen to nitrogen ratio) and preparation/processing conditions. This article overviews the optical properties (including refractive index, reflectance, absorbance, band gap, photoluminescence, and transmittance) of (oxy)nitride materials that are in the form of thin films, powders, or bulk ceramics, and highlights their applications as antireflection coatings, solar spectral selectivity coatings, visible‐light‐driven photocatalysts, ecological pigments, phosphors for light‐emitting diodes, and transparent window materials.