Various potential applications of quantum dots (QDs) require knowledge of their optical nonlinearities. In this review, the third-order nonlinearities responsible for the saturable absorption, two-photon absorption, reverse saturable absorption, and nonlinear refraction in QDs, as well as the high-order harmonics generation in the laser-induced plasmas containing QDs, are analyzed. The methods of QD synthesis and preparation strongly affect their optical nonlinearities. Above-mentioned nonlinear optical studies in QDs are analyzed for various potential applications (sources of coherent extreme ultraviolet radiation, optical limiters, mode-lockers, etc.).