Nonlinear optical (NLO) crystals need to meet multiple criteria, so it is a challenging and time-consuming task to find new NLO materials. The computational method that based on first-principles can screen out materials from a large number of materials by predicting their properties. In addition, the NLO-active groups of the materials can be identified by studying the “composition-structure-properties” relationship, which provides guidance for the synthesis of new materials. This paper summarizes the role and recent cases of computational materials in the discovery of new NLO materials. The first-principles high-throughput screening pipeline system for nonlinear optical materials (FHSP-NLO) is introduced emphatically. The system combines density functional theory (DFT) codes, linear and nonlinear optical property calculation codes, and data transformation and extraction codes, and can be automatically run to calculate and analyze a large number of materials at once. It has been successfully applied in systems including borates, germanates and nitride silicates, which provide a powerful and effective tool for searching new NLO materials.