Nonlinear optical effects arise when one applies to a material system optical fields that are on the order of or larger than the atomic fields that exist within the system. Quantum size effects appear when the dimensions of a system become comparable to or even smaller than the natural length scale governing its quantum mechanics. Much recent progress has resulted from the combination of these two very productive areas of physics. Because of advances in semiconductor and laser technologies, it is now possible to apply very intense, ultrashort pulses of light to nanometer‐scale semiconductor heterostructures. These conditions produce many new and exciting effects. This article aims to give the reader a flavor of the status of this quickly evolving field of research, with a special emphasis on the most novel and unexpected results.