The interest in tailoring light in all its degrees of freedom is steadily gaining traction, driven by the tremendous developments in the toolkit for the creation, control and detection of what is now called structured light. Because the complexity of these optical fields is generally understood in terms of interference, the tools have historically been linear optical elements that create the desired superpositions. For this reason, despite the long and impressive history of nonlinear optics, only recently has the spatial structure of light in nonlinear processes come to the fore. In this review we provide a concise theoretical framework for understanding nonlinear optics in the context of structured light, offering an overview and perspective on the progress made, and the challenges that remain.