We have developed a mini-coil pulsed magnet system with direct optical access, ideally suited for nonlinear and ultrafast spectroscopy studies of materials in high magnetic fields up to 30 T. The apparatus consists of a small coil in a liquid nitrogen cryostat coupled with a helium flow cryostat to provide sample temperatures down to below 10 K. Direct optical access to the sample is achieved with the use of easily interchangeable windows separated by a short distance of ~135 mm on either side of the coupled cryostats with numerical apertures of 0.20 and 0.03 for measurements employing the Faraday geometry. As a demonstration, we performed time-resolved and time-integrated photoluminescence measurements as well as transmission measurements on InGaAs quantum wells.