The vastness of organic synthetic strategies and knowledge of reticular chemistry have made covalent organic frameworks (COFs) one of the most chemically and structurally diverse class of materials with potential applications ranging from gas storage, molecular separation, and catalysis to energy storage and magnetism. Recently, this class of porous materials has garnered increasing interest as potential nonlinear optical (NLO) materials. Traditionally, inorganic crystals, small-molecule organic chromophores, and oligomers have been studied for their NLO response. Nevertheless, COFs offer significant advantages over existing NLO materials in terms of higher mechanical strength, thermochemical stability, and extended conjugation. Herein, we discuss crucial aspects, terminology, and measurement techniques related to NLO, followed by a critical analysis of the design principles for COFs with NLO response. Furthermore, we touch on selected potential applications of these NLO materials. Finally, future prospects and challenges of COFs as NLO materials are discussed.