Four heteroanionic oxyhalides, CeClMoO4, CeBrMoO4, CeClWO4, and CeBrWO4, have been studied as multifunctional materials, which show a combination of good second harmonic generation (SHG) response and photocurrent signals. Millimeter-sized CeHaVIO4 (Ha = Cl, Br; VI = Mo, W) crystals were grown by halide salt flux. The crystal structure of CeHaVIO4 crystals was accurately determined by single-crystal X-ray diffraction. CeClMoO4, CeBrMoO4, and CeBrWO4 are isostructural to each other, and crystallize in the acentric LaBrMoO4 structure type. CeClWO4 crystallizes in a new structure type with unit cell parameters of a = 19.6059(2) Å, b = 5.89450(10) Å, c = 7.80090(10) Å, and β = 101.4746(8)°. The bandgaps of CeHaVIO4 fall into the range of 2.8(1)-3.1(1) eV, which are much smaller than those of isotypic LaHaVIO4 (Ha = Cl, Br; VI = Mo, W) in the range of 3.9(1)-4.3(1) eV. The narrowing of bandgaps in CeHaVIO4 originates from the presence of partially filled 4f orbitals of cerium atoms, which was confirmed by density functional theory (DFT) calculations. The moderate bandgaps make CeHaVIO4 suitable for infrared nonlinear optical (IR NLO) applications. CeBrMoO4 and CeBrWO4 exhibit moderate SHG responses of 0.58× AGS and 0.46× AGS, respectively, and are both type-I phase-matching materials. Moderate SHG response, easy growth of crystals, high ambient stability, and type-I phase-matching behavior make CeBrMoO4 and CeBrWO4 great materials for IR NLO applications. CeHaVIO4 films also exhibited good photocurrent response upon light radiation. This work demonstrates the rich structural chemistry of the REHaVIO4 (RE = Y, La-Lu; Ha = Cl, Br; VI = Mo, W) family and the potential presence of more multifunctional materials.