Improving nonlinear optics efficiency is currently one of the hotspots in modern optical research. Moreover, with the maturity of nonlinear optical microscope systems, more and more biology, materials, medicine, and other related disciplines have higher imaging resolution and detection accuracy requirements for nonlinear optical microscope systems. Surface plasmons of metal nanoparticle structures could confine strong localized electromagnetic fields in their vicinity to generate a new electromagnetic mode, which has been widely used in surface-enhanced Raman scattering, surface-enhanced fluorescence, and photocatalysis. In this review, we summarize the mechanism of nonlinear optical effects and surface plasmons and also review some recent work on plasmon-enhanced nonlinear optical effects. In addition, we present some latest applications of nonlinear optical microscopy system research.