Abstract The time-reversal symmetry breaking, that is the result of the presence of a magnetization, leads to a number of well-known magneto-optical effects like Faraday rotation in transmission and Kerr rotation in reflection. In nonlinear optics in the electric-dipole approximation optical effects, e.g. second-harmonic generation (SHG), are only allowed in media with a broken space-inversion symmetry. As a consequence, nonlinear magneto-optical phenomena like magnetization-induced second-harmonic generation (MSHG), can only be observed in materials in which both space-inversion and time-reversal symmetry are simultaneously broken. This makes nonlinear magneto-optical effects particularly attractive for the study of magnetic multilayers and nanostructures, that are the basis of a new generation of magnetic sensors and recording media. In this paper we will discuss some of the recent advances in this field, such as the observation of very large nonlinear magneto-optical effects, strong oscillations in the MSHG response from ultra-thin metallic overlayers and new modes of nonlinear magneto-optical imaging.