Nonlinear optics has undergone dramatic developments in the past 60 years, which has revolutionized the photonic and optoelectronic fields with many essential applications such as electro-optic switching, frequency mixing, optical parametric oscillation, optical phase conjugation, and so forth. As one of the new and promising candidates for both next-generation photovoltaic and optoelectronic devices, halide perovskite semiconductors have attracted extensive research attention because of their excellent electrical and optical properties demonstrated in the linear optical regime. In the past five years, halide perovskites have become a new research frontier of nonlinear optical materials because their highly tunable chemical components and multiple structures provide a variety of outstanding nonlinear optical properties, which support a broad scope of nonlinear optical applications. In this review, we have summarized the nonlinear optical properties of halide perovskites categorized according to the second-, third-, and high-order processes. Aside from the more conventional nonlinear effects, such as sum and difference frequency generation, this review also pays attention to the lesser known but important nonlinear phenomena, such as linear and circular photogalvanic effects, the high-order shift current effect, and the multi-photon pumped photoluminescence. We have also reviewed and summarized the nonlinear applications of halide perovskites, including multi-photon pumped photoluminescence imaging, multi-photon pumped amplified spontaneous emission and lasing, sub-bandgap and self-powered photodetection, all-optical and electro-optic modulation, saturable absorption, optical limiting, and so on. It is our belief that halide perovskites have proven to be excellent candidates for promoting the upgrading and updating of nonlinear optical devices with greatly improved performance and novel functionalities.