Second-order nonlinear optical (NLO) materials have drawn enormous academic and technological attention attributable to their indispensable role in laser frequency conversion and other greatly facilitated applications. The exploration of new NLO materials with high performances thus has long been an intriguing research field for chemists and material scientists. However, an ideal NLO material should simultaneously satisfy quite a few fundamental yet rigorous criteria including a noncentrosymmetric structure, large NLO coefficients, desired transparent range, large birefringence, high laser damage threshold, and availability of a large-size single crystal. Therefore, the identification of promising compound systems, targeted design, and experience-based syntheses are crucial to discover novel NLO materials working in the spectral region of interest. As an important family of mixed-anion compounds, versatile metal oxyhalides containing metal-centered oxyhalide functional units ([MOmXn] (X = F, Cl, Br, and I)) are becoming a marvelous branch for interesting NLO materials. Especially, when the central metals are d0/d10 transition metals or heavy post-transition metals, a number of novel NLO materials with superior functionalities are expected. Our thorough review on the recent achievements of metal oxyhalides for NLO materials are divided into the fast-growing NLO metal oxyhalides with single type halogen anions and the newly identified NLO metal oxyhalides with mixed halogen anions. Here we mainly focus on the design strategy, structural chemistry, NLO-related properties, and structure–property correlation of the metal oxyhalides with relatively large NLO responses. We hope this review can provide an insight on the rational design and future development of emerging metal oxyhalides for NLO and other applications.