||Light transmission through small apertures has attracted a lot of attention. Only with the advance of nanofabrication techniques does the study of light transmission through subwavelength apertures and hole arrays in the visible region becomes possible. Although there are numerous studies on the extraordinary optical transmission through hole arrays and potential applications, not much work had been done for the study of the nonlinear phenomena generated from these subwavelength hole arrays. In this thesis, advanced nanofabrication techniques, such as electron beam lithography, have been utilized to fabricate nanometer scaled hole arrays on very thin metal films. Hole arrays with different lattice arrangements, lattice constants and shapes have been fabricated for measurement. Ultrafast laser pulses generated from a Ti:Sapphire oscillator and a regenerative amplifier, which is capable of generating extremely high power laser pulses, are used as the light source for the nonlinear optical study. Nonlinear measurements, including second harmonic generation and third harmonic generation from the fabricated hole arrays, have been performed. Second harmonic generation studies had been focused on how symmetry plays a role in the process of generating second harmonic signal. Results show that upon breaking symmetry by either the illumination or detection angle, or the symmetry of the aperture itself, very strong nonlinear signals from the nanohole arrays can be generated. For third harmonic generation, the symmetry requirement is less restrictive, but follows the same principle: the highest harmonic signals are produced upon the extraordinary transmission of the fundamental light. The effects of the adhesion layer, the lattice arrangements, lattice constant, aperture shape and nonlinear filling material inside the apertures have been studied for both second harmonic generation and third harmonic generation. As preliminary efforts towards generating supercontinuum from these hole arrays, luminescence from Au has been studied.