In the current work, the authors aim to present an insight on the role of cobalt (Co) doping for the structural, morphological, and linear and nonlinear optical (NLO) properties of CdO thin films. The films were prepared using the spray pyrolysis (SP) technique, and the weight % of Co (x) was varied from 0–10. The structural properties of the films were confirmed by the powder X-ray diffraction (P-XRD) studies and are polycrystalline with a cubic structure and a lattice parameter of 0.4658 nm. As Co content in CdO films increases, cluster grain size and porosity decrease significantly, as seen in surface topographic and nanostructural analysis. Through the Burstein–Moss shift, the optical band gap “Eg” in Co: CdO film decreases from 2.52 to 2.05 eV with the increase in Co-doping. To study the NLO parameters, open aperture (OA) and closed aperture (CA) Z-scan measurements were performed using the diode-pumped solid-state continuous wave laser excitation (532 nm), and with the increased Co-content, the NLO parameters—nonlinear absorption coefficient (β∼10−3 cm/W), nonlinear refractive index
n
2
∼
10−8 cm2/W), and the 3rd-order NLO susceptibility
χ
3
∼
10−7 to 10−6 e.s.u.) values were determined and found to be enhanced. The maximum NLO parameters achieved in the present study with increasing Co concentration on CdO nanostructures prepared by the SP method are found to be the highest among the reported values and suggest that processed films are a capable material for optoelectronic sensor applications.