The interface and bulk magnetization dynamics of single-crystalline, wedge-shaped Fe͑001͒ thin films with Cr cap layers have been studied by time-resolved magneto-optical Kerr effect ͑MOKE͒ and time-resolved magnetization-induced second harmonic generation ͑MSHG͒ using an all-optical pump-probe technique. We observed long-lived ͑Ϸ1 ns͒ MOKE and MSHG oscillations excited by ultrashort ͑Ϸ150 fs͒ optical pulses. They exhibit the same main resonance frequency f and damping constant. However, a 90°phase shift was observed between linear and nonlinear responses proving that MOKE and MSHG oscillations are related to the temporal variations of different magnetization components M z and M y . Additionally, we found weak oscillations at the double frequency 2f. Comparing the results of static and dynamic MSHG measurements we evaluate the in-plane amplitude of the optically excited interfacial magnetization oscillations.