Polyvinylidene fluoride (PVDF) and its copolymers films have been extensively used in photoelectric functional devices such as photoelectric conversion, optical regulation, optical switch. They are the most important polymeric ferroelectricity materials with excellent electro-active properties, high diffraction efficiency and significant nonlinear optical effect. We summarize the progress in nonlinear optical effect of polyvinylidene fluoride and its copolymers films both in domestic and foreign research within the last several years. We illustrate that the development direction of the films will be nanoscale-doping, blending modification and ultrathin. The nonlinear optical properties should be investigated by the first-principle and photonic band gap calculations, and measured by the means of the high sensitivity Z-scan, Marker fringe combing with ellipsometry. This study can provide an insight for the development and utilization for polyvinylidene fluoride and its copolymers films in future.