Nonlinear optics of two-dimensional (2D) layered materials is currently at the centre of significant research effort. This final project is to investigate several aspects of second-order optical nonlinearity phenomena in atomically-thin Gallium(II)–Selenide (GaSe). The work includes the preparation of thin-layered GaSe samples via mechanical exfoliation and the subsequent investigation of their nonlinear optical properties via multi-photon microscopy (MPM) and a pump-probe setup. The scientific objective of the work is to understand the frequency-dependent nonlinear optical responses in atomically thin GaSe devices. The power dependent second harmonic generation (SHG) and sum-frequency (SFG) are measured. Four-wave mixing (FWM) was observed for the first time in GaSe. These results pave the way to fully understanding various nonlinear optical responses in GaSe.