Properties of nanolayers can substantially differ from those of bulky materials, in part due to pronounced interface effects. It is known that combinations of layers of heavy and ferromagnetic metals leads to the appearance of specific spin textures induced by interface-induced Dzyaloshinskyi–Moria interaction (DMI), which attracts much interest and requires further studies. In this paper, we study magneto-optical effects in two- and three-layer films composed of a few nanometer thick Co layer adjacent to nanofilms of non-magnetic materials (Pt, W, Cu, Ta, MgO). For experimental studies of the interface magnetization-induced effects, we used the optical second harmonic generation (SHG) technique known for its high sensitivity to the symmetry breaking. We found that the structural asymmetry leads to the increase of the averaged SHG intensity, as well as to the magnetic field-induced effects in SHG. Moreover, by choosing the proper geometry of the experiment, we excluded the most studied linear in magnetization SHG contributions and, thus, succeeded in studying higher order in magnetization and non-local magnetic effects. We revealed odd in magnetization SHG effects consistent with the phenomenological description involving inhomogeneous (gradient) magnetization distribution at interfaces and found them quite pronounced, so that they should be necessarily taken into account when analyzing the non-linear magneto-optical response of nanostructures.