Because of their unique and excellent photophysical properties, lead halide perovskites are widely used in photoelectronic devices such as photodetectors, light-emitting diodes, solar cells, and lasers. Recently it was found that lead halide perovskites also exhibit excellent nonlinear optical properties in nonlinear optics (NLO), including saturated absorption, two-or multiphoton absorption, and nonlinear refraction. It is believed that perovskites will be serious nonlinear optical materials in the future. The nonlinear optical devices prepared from perovskites on the basis of their optical nonlinearity may open up a new viewpoint for the application of information and communication technology. Here the research on lead halide perovskites in NLO is reviewed. The mechanism of nonlinear optical phenomena of lead halide perovskites is analyzed, and some possible methods to improve the optical nonlinearity are summarized. Their applications in passive Q-switched lasers, upconversion lasers, optical limiting, and infrared detection are introduced. Several future research directions and challenges of lead halide perovskites in nonlinear optics are proposed.