Since its discovery, laser ablation in liquid (LAL) technique has engrossed significant attention from the research community and is gradually becoming a fascinating fabrication technique to synthesize nanostructures (NSs) of diverse morphologies on solid targets as well as nanoparticles (NPs) with distinct shapes/sizes in a single attempt. Moreover, this technique has plethora of advantages over the chemical routes such as simplicity, robustness, and purity of the produced NPs/NSs, as well as the circumvention of stabilizing reagents and/or chemical precursors during the synthesis. The present review focuses on our research group’s significant contributions and achievements over the past 10 years on laser-synthesized nanomaterials (NMs) and their applications in sensing [using the technique of surface enhanced Raman spectroscopy (SERS)] and nonlinear optics (NLO)/photonics. We highlight in the first section the governing mechanisms involved in the LAL technique with laser pulses of different duration such as nanosecond, picosecond, and femtosecond. Subsequent section discusses the effect of input laser pulse parameters (wavelength, fluence, pulse duration, reputation rate, and the number of pulses) as well as surrounding ambience (air and liquid) on the morphological changes of the substrate’s surfaces used in the production of nanoparticles (NPs) and surface nanostructures (NSs). The later section of this review describes the overview of LAL applications with particular emphasis on surface-enhanced Raman scattering based hazardous materials sensing and nonlinear optics/photonics.