Nonlinear optics (NLO) of transition metal dichalcogenides (TMDs) is promising for the on‐chip photonic and optoelectronic applications. In this review, we will survey the current progress of NLO in TMDs. First, we will brief the basic theory of the NLO in TMDs. Second, several important nonlinear processes in TMDs such as harmonic generation, four‐wave mixing, saturable absorption, and two‐photon absorption will be presented and their potential applications are also discussed. Third, the main strategies to tune, modulate, and enhance the NLO in TMDs are reviewed, including the excitonic effect, symmetry modulation, optical cavity enhancement, valley selection, edge state, and material phase. Finally, we give an outlook regarding some important issues and directions of NLO in TMDs.