Central metal exchange can innovatively open the cavity of metal‐organic frameworks (MOFs) by alternating the framework topology. Here, the single‐crystal‐to‐single‐crystal (SC‐SC) transformation is reported from a Co‐based MOF {[Co1.25(HL)0.5(Pz‐NH2)0.25(µ3‐O)0.25(µ2‐OH)0.25(H2O)]·0.125 Co·0.125 L·10.25H2O}n (Co‐MOF, L = 5,5'‐(1H‐2,3,5‐triazole‐1,4‐diyl)diisophthalic acid) into two novel MOF materials, {[Cu1.75L0.75(Pz‐NH2)0.125(µ3‐O)0.125(µ2‐OH)0.25(H2O)0.375]•3CH3CN}n (Cu‐MOF) and {[Zn1.75L0.625(Pz‐NH2)0.25(µ3‐O)0.25(µ2‐O)0.25(H2O)1.25]•4CH3CN}n (Zn‐MOF), through exchanging the Co2+ in the MOF into Cu2+ or Zn2+, respectively. The free Co2+ and L4− in the Co‐MOF channels fuse with the skeleton during the Co→Cu and Co→Zn exchange processes, leading to the expansion of the channel space and the transformation of the secondary building units (SBUs) to form an adjustable skeleton. The nonlinear optical response results show that the MOFs generated by the exchange of the central metal exhibit different saturable absorption and the self‐focusing effect. In addition, loading polypyrrole (PPy) into the MOFs can not only improve the stability of the MOFs but also further optimize the nonlinear optical behavior. This work suggests that SC‐SC central metal exchange and the introduction of polymer molecules can tune the nonlinear optical response, which provides a new perspective for the future study of nonlinear optical materials.