The family of 2D transition metal carbides, nitrides, and carbonitrides (MXenes) has attracted an enormous amount of attention due to their tunable optical, electronic, electrochemical, and mechanical properties. Recently, a new branch of MXenes materials research has emerged that is exploring and engineering the intrinsic optical response of MXenes, resulting in compact nonlinear optical (NLO) devices. As a novel 2D materials system, MXenes not only exhibit common advantages of classical 2D materials for NLO applications but also demonstrate their unique superiority, such as high yield and scalable synthesis, good stability, switchable NLO response, etc. Here, a fundamental overview of MXenes nonlinear optics is provided, covering everything from MXenes synthesis to linear and NLO properties and NLO applications. The synthesis method and its influence on the MXenes structures and morphology are discussed, which dominated the linear optics of MXenes. Then, the third‐order NLO properties and carrier dynamics of MXenes, from basic theory to experimental results, are elaborated. Their NLO applications, including ultrashort laser pulse, single‐frequency laser generation, all‐optical phase modulation, wavelength modulation, and passive photonic diodes, are also highlighted. Finally, the current challenges and an outlook for future MXenes NLO research are proposed.