Few-layer selenium and tellurium films have been recently prepared, and they provide a new platform to explore novel properties of two-dimensional (2D) elemental materials. In this work, we have performed a systematic first-principles study on the electronic, linear, and nonlinear optical (NLO) properties of atomically thin selenium and tellurium films within the density-functional theory with the generalized gradient approximation plus scissors correction using the band gaps from the relativistic hybrid Heyd-Scuseria-Ernzerhof functional calculations. Interestingly, we find that few-layer Se and Te possess large second-harmonic generation (SHG), linear electro-optic effect, and bulk photovoltaic effect. In particular, trilayer (TL) Te possesses large SHG coefficient, being more than 65 times larger than that of GaN, a widely used NLO material. Bilayer (BL) Te has huge static SHG coefficient, being more than 100 times larger than that of GaN. Furthermore, monolayer (ML) Se possesses large SHG coefficient. Moreover, we predict that TL Te exhibits strong bulk photovoltaic effect (BPVE), being greater than that of GeS, a polar system with the largest BPVE found so far. Although the shift current conductivities of bulk and 2D Se are comparable, the shift current conductivities of TL Te are five times larger than those of bulk Te. Finally, an analysis of the calculated electronic band structures indicates that the strong NLO responses of 2D Se and Te materials are primarily derived from their low-dimensional structures with high anisotropy, directional covalent bonding, lone-pair electrons, and relatively small band gaps. These findings provide a practical strategy to search for excellent NLO and BPVE materials.