Recently, Pb(Mg1/3Nb2/3)O3-xPbTiO3 (PMN-xPT) single crystals present tremendous potential in optical applications such as Q-switches and invisible robotic devices because they possess high electro-optic properties and perfect transparency simultaneously. However, due to the difficulties in testing and sample preparation, the nonlinear optical properties of PMN-PT single crystals have not been reported yet, which poses a bottleneck for exploring its nonlinear application. In this work, a large second-order nonlinear coefficient (d31 ∼ 77.9 pm V−1) of single domain PMN-0.39PT single crystal has been revealed, which is times times higher than the maximum nonlinear coefficient of commercial LiNbO3 single crystal (d33 = 25.4 pm V−1). The complete set of nonlinear coefficients of the sample has been determined by second harmonic generation microscopy. This work presents the promising nonlinear optical property in PMN-PT single crystals and opens a door for designing high-performance nonlinear optical devices.