Strong coupling is a distinct light-matter interaction regime, in which the interaction is manifested in coherent oscillations of energy between matter and a photonic subsystem. The consequence of such a strong coupling is the adjustment of the energy states of molecules and materials, which can bring about fascinating chemical and physical properties, and therefore result in advanced applications in many fields such as Bose-Einstein condensation and coherent emission, polariton lasing, superfluidity, quantum information processing, Raman scattering, chemical landscape, etc. Recently, strong coupling has also demonstrated profound impacts on the nonlinear optical (NLO) properties of molecular materials. In this review, the recent research progress in the field of strongly coupled systems for NLO applications is summarized. The underlying concepts and the detailed features of strongly coupled molecular systems are introduced, and the NLO characteristics of strongly coupled systems are reviewed. Finally, an outlook of future directions for this emerging field is given.