The nonlinear optical (NLO) properties of selenide gallium-cadmium (CdGa2Se4) nanoparticles (NPs) are investigated by femtosecond open-aperture Z-scan technique. The results show that they exhibit saturable absorption at 400 nm while reverse saturable absorption at 800 nm, which is ascribed to single-photon absorption and two-photon absorption, respectively. The NLO response conversion can be attributed to its band gap determined by the moderate bond strength of gallium and selenium atoms. An empirical equation for band gap and proton number of CdGa2Se4's belonging class of compounds is proposed. It can be used to estimate the band gap values of this class of compounds and predict their nonlinear optical responses at different waveband.