Optical nonlinear effects refer to phenomena wherein the response of materials to light changes nonlinearly with increasing light intensity. With advancements in laser technology, the increasing intensity of light causes pronounced nonlinear effects in optical system components. Optical thin films are optical components comprising stacked materials with high and low refractive indices. They are crucial in modern optical systems because of their regulatory flexibility, ease of manufacturing, and integration. Therefore, the nonlinear effects in optical thin films have emerged as a notable research area. This article reviews and discusses the physical mechanisms, measurement techniques, control strategies, and applications of the Kerr, nonlinear absorption, and third harmonic effects in optical thin films. It also highlights prospects for further research on third-order nonlinear effects in these films.