Abstract: With the emergence of atomically thin two-dimensional quantum materials in recent years, the valley degree of freedom has become a new research focus. Meanwhile, nonlinear optics is an important and indispensable branch in modern optics. These two seemingly unrelated topics are now intimately correlated by the fact that both are sensitive to the broken inversion symmetry of various materials. In this paper I will introduce the relationship between the valley degree of freedom and the most basic nonlinear optical process, namely second harmonic generation, by focusing on the monolayer and few layers of transition metal dichalcogenides. It will be shown that nonlinear optics is a powerful technique to study valley physics. In turn, valley hosting materials such as transition metal dichalcogenides enrich the subject of nonlinear optics. It is anticipated that two-dimensional materials and devices will emerge as a new frontier of nonlinear optics.