Nonlinear optics is an important area of photonics research for realizing active optical functionalities such as light emission, frequency conversion, and ultrafast optical switching for applications in optical communication, material processing, precision measurements, spectroscopic sensing and label-free biological imaging. An emerging topic in nonlinear optics research is to realize high efficiency optical functionalities in ultra-small, sub-wavelength length scale structures by leveraging interesting optical resonances in surface relief metasurfaces. Such artificial surfaces can be engineered to support high quality factor resonances for enhanced nonlinear optical interaction by leveraging interesting physical mechanisms. The aim of this review article is to give an overview of the emerging field of nonlinear optics in dielectric based sub-wavelength periodic structures to realize efficient harmonic generators, wavelength mixers, optical switches etc. Dielectric metasurfaces support the realization of high quality-factor resonances with electric field concentrated either inside or in the vicinity of the dielectric media, while at the same time operate at high optical intensities without damage. The periodic dielectric structures considered here are broadly classified into guided-mode resonant structures and resonant metasurfaces. The basic physical mechanisms behind guided-mode resonances, electromagnetically-induced transparency like resonances and bound-states in continuum resonances in periodic photonic structures are discussed. Various nonlinear optical processes studied in such structures with example implementations are also reviewed. Finally, some future directions of interest in terms of realizing large-area metasurfaces, techniques for enhancing the efficiency of the nonlinear processes, heterogenous integration, and extension to non-conventional wavelength ranges in the ultra-violet and infrared region are discussed.