The building block modular approach that lies behind coordination polymers (CPs) and metal–organic frameworks (MOFs) results not only in a plethora of materials that can be obtained but also in a vast array of material properties that could be aimed at. Optical properties appear to be particularly predetermined by the character of individual structural units and by the intricate interplay between them. Indeed, the “design principles” shaping the optical properties of these materials seem to be well explored for luminescence and second-harmonic generation (SHG) phenomena; these have been covered in numerous previous reviews. Herein, we shine light on CPs and MOFs as optical media for state-of-the-art photonic phenomena such as multi-photon absorption, triplet–triplet annihilation (TTA) and stimulated emission. In the first part of this review we focus on the nonlinear optical (NLO) properties of CPs and MOFs, with a closer look at the two-photon absorption property. We discuss the scope of applicability of most commonly used measurement techniques (Z-scan and two-photon excited fluorescence (TPEF)) that can be applied for proper determination of the NLO properties of these materials; in particular, we suggest recommendations for their use, along with a discussion of the best reporting practices of NLO parameters. We also outline design principles, employing both intramolecular and intermolecular strategies, that are necessary for maximizing the NLO response. A review of recent literature on two-, three- and multi-photon absorption in CPs and MOFs is further supplemented with application-oriented processes such as two-photon 3D patterning and data storage. Additionally, we provide an overview of the latest achievements in the field of frequency doubling (SHG) and tripling (third-harmonic generation, THG) in these materials. Apart from nonlinear processes, in the next sections we also target the photonic properties of MOFs that benefit from their porosity, and resulting from this their ability to serve as containers for optically-active molecules. Thus, we survey dye@MOF composites as novel media in which efficient upconversion via triplet energy migration (TEM) occurs as well as materials for stimulated emission and multi-photon pumped lasing. Prospects for producing lasing as an intrinsic property of MOFs has also been discussed. Overall, further development of the optical processes highlighted herein should allow for realization of various photonic, data storage, biomedical and optoelectronic applications.