In this thesis, we measure the far-field second harmonic generation (SHG) in various-oriented BiFeO3 thin films by femtosecond laser pulses with 800 nm. From the symmetry of SHG pattern, we could analyze the relationship between the SHG and the polarization in BiFeO3. Moreover, the SHG in the BiFeO3-CoFe2O4 nanostructure samples can be measured by a home-made Scanning Near-field Optic Microscopy (SNOM). By comparing the results of SNOM and PFM, the mechanism of SHG in BiFeO3 thin films could be further revealed. Finally, the time-resolved SNOM has been performed here to study the ferroelectric domain in BiFeO3 thin films.