The high stability, feasible modification, and good π-conjugation of porphyrin derivatives render these porphyrin-based nanomaterials suitable as potential third order nonlinear optical (NLO) materials. Introducing an azulene in pristine porphyrins can significantly improve the second order NLO properties of the system, and this is studied in the present work using density functional theory based methods and the sum-over-states model. The relative orientation of azulene plays a determinant role in the enhancement of the static first hyperpolarizability (〈β0〉), e.g., the 〈β0〉 per heavy atom increases from 0.31 × 10-30 esu to 9.78 × 10-30 esu. Further addition of metals (Mg and Zn) in these azulene-fused porphyrin systems leads to an even larger 〈β0〉 per heavy atom of 41.59 × 10-30 esu, much larger than that of a recently reported porphyrin derivative (26.47 × 10-30 esu). A novel strategy to stabilize the electronic structures as well as maintain good second order NLO responses by introducing appropriate metals into the azulene-fused porphyrins is extendable to other similar systems. Strong sum frequency generation and different frequency generations of those azulene-fused porphyrins in visible and near-infrared regions may inspire experimental exploration and related applications of azulene-based porphyrins particularly in biological nonlinear optics.