It has historically been exceedingly challenging to create physically and chemically stable lanthanide compounds with strong second harmonic generation (SHG) due to their strong preference to central symmetry. In this work, five new non‐centrosymmetric lanthanide selenites, namely, Ln2F2(OH2)(MoO3)2(SeO3)2 (Ln = Sm, Eu, Gd, Tb and Dy), are achieved by partial fluorination of the lanthanide oxygen polyhedron. An HF corrosion resistant supercritical hydrothermal method is developed, which is a facile and universal method for HF corrosion and high‐temperature high‐pressure environment. The title compounds displayed a novel 3D framework composed of 1D molybdenum selenite chains bridged by Ln2F2O12(OH2) dimers. Their powder SHG responses showed a large difference, ranging from 1.0 to 9.0 × KH2PO4 (KDP) at 1064 nm. The half‐filled Gd compound exhibited very strong SHG efficiency of up to 1.2 × KTP (KTiOPO4) at 2050 nm. Compounds Tb and Gd are the first lanthanide selenites with SHG intensity reaching KTP level, which is very rare in this system. Furthermore, these compounds can also possess excellent physicochemical stability and strong luminescence emission, indicating that they are promising multifunctional nonlinear optical materials. This work offered an effective way for design and synthesis of multifunctional and high‐performant nonlinear optical materials.