Development of organic nonlinear optical materials has become progressively more important due to their emerging applications in new‐generation photonic devices. A novel series of chromophores based on innovative thiophene and furan‐fused cyclopentadienyl bridge with various powerful donor and acceptor moieties were designed and theoretically investigated for applications in nonlinear optics. To unravel the structure–property relationship between this new push‐pull conjugated systems and their nonlinear optical property, multiple methods, including density of states analysis, coupled perturbed Kohn–Sham (CPKS) method, sum‐over‐states (SOS) model, the two‐level model (TSM), hyperpolarizability density analysis, and the (hyper)polarizability contribution decomposition, were performed to comprehensively investigated the nonlinear optical and electronic properties of this new π‐system. Due to excellent charge transfer ability of new bridge and distinctive structure of donor and acceptor, the designed chromophores exhibit deep HOMO levels, low excitation energy, high dipole moment difference and large hyperpolarizability, indicating the appealing air‐stable property and remarkable electrooptic performance of them. Importantly, THQ‐CS‐A3 and PA‐CS‐A3 shows outstanding NLO response properties with βtot value of 6953.9 × 10−30 and 5066.0 × 10−30 esu in AN, respectively. The influence of the push‐pull strength, the heterocycle and the π‐conjugation of new bridge on the nonlinear optical properties of this novel powerful systems are clarified. This new series of chromophores exhibit remarkable electro‐optical Pockels and optical rectification effect. More interestingly, PA‐CS‐A3 and THQ‐CS‐A2 also show appealing SHG effect. This study will help people understand the nature of nonlinear optical properties of innovative heteroarene‐fused based cyclopentadienyl chromophores and offer guidance for the rational design of chromophores with outstanding electrooptic (EO) performance in the future.