Wavelength information is essential for any researcher in optics and photonics, and for this reason, a wide range of devices is available for measuring it. However, the techniques available today are limited either to a resolution of nanometers or a measurement rate of kHz. In this paper, we present a simple but highly versatile technique based on second-harmonic generation to measure fast wavelength dynamics of laser diodes. We demonstrate a resolution of 0.7 pm and a measurement rate in the MHz range. The measurement rate is limited only by the photodetector, and the wavelength resolution is limited mainly by the length of the nonlinear crystal and the noise of the detectors. The technique can, e.g., be used to investigate the mode-hop behavior of laser diodes during pulsed operation. To demonstrate this, we show the wavelength changes of a laser diode during a single pulse.