A d-dimensional second-order topological insulator (SOTI) can host topologically protected (d-2)-dimensional gapless boundary modes. Here, we show that a 2D non-Hermitian SOTI can host zero-energy modes at its corners. In contrast to the Hermitian case, these zero-energy modes can be localized only at one corner. A 3D non-Hermitian SOTI is shown to support second-order boundary modes, which are localized not along hinges but anomalously at a corner. The usual bulk-corner (hinge) correspondence in the second-order 2D (3D) non-Hermitian system breaks down. The winding number (Chern number) based on complex wave vectors is used to characterize the second-order topological phases in 2D (3D). A possible experimental situation with ultracold atoms is also discussed. Our work lays the cornerstone for exploring higher-order topological phenomena in non-Hermitian systems.