Light-frequency conversion based on two-dimensional (2D) materials is of great importance for modern nano- and integrated photonics. Herein, we report both the intrinsic (from the pure WX2 (X = S, Se, and Te)) and extrinsic (from the interface of graphene/WX2) second-order nonlinear coefficient tensor from graphene/WX2 van der Waals (vdW) heterostructures by first-principles calculations. The prominent peaks in the dispersion relation of the intrinsic second-order nonlinear coefficient in monolayer WX2 are due to the Van Hove singularity in the high-symmetry point or along the high-symmetry line with high joint density of states. The enhanced nonlinear optical response in the infrared band can be achieved in graphene/WS2 vdW heterostructures, resulting from the interlayer charge transfer between graphene and WS2. The value of the intrinsic second-order nonlinear coefficients of graphene/WSe2 vdW heterostructures is 1.5 times larger than that of pure monolayer WSe2 at the band gap energy of monolayer WSe2 because of the enhanced carrier generation after the heterostructure formation. Different from pure monolayer WX2, azimuthal angle-dependent second harmonic generation from graphene/WX2 vdW heterostructures exhibits extraordinary rotational symmetry at different photon energies, which can be used to deduce the extrinsic second-order nonlinear coefficient. These results pave the way for the nonlinear optical coefficient design based on 2D heterostructures for nonlinear nanophotonics and integrated devices.