Lead iodide (PbI2) is a van der Waals layered semiconductor with a direct bandgap in its bulk form and a hexagonal layered crystalline structure. The recently developed PbI2 nanosheets have shown great promise for high-performance optoelectronic devices, including nanolasers and photodetectors. However, despite being widely used as a precursor for perovskite materials, the optical properties of PbI2 nanomaterials remain largely unexplored. Here, we determine the nonlinear optical properties of PbI2 nanosheets by utilising nonlinear microscopy as a non-invasive optical technique. We demonstrate the nonlinearity enhancement dependent on excitonic resonances, crystalline orientation, thickness, and influence of the substrate. Our results allow for estimating the second- and third-order nonlinear susceptibilities of the nanosheets, opening new opportunities for the use of PbI2 nanosheets as nonlinear and quantum light sources.