Nonlinear optical (NLO) materials play an increasingly important role in optoelectronic devices, biomedicine, micro–nano processing, and other fields. The development of organic materials with strong second or (and) third NLO properties and a high stability is still challenging due to the unknown strategies for obtaining enhanced high order NLO properties. In the present work, π-conjugated systems are constructed by doping boron or (and) nitrogen atoms in the azulene moiety of azulene-based nanographenes (formed with an azulene chain with two bridging HCCHs at the two sides of the connecting CC bonds between azulenes, A1A2A3), and the NLO properties are predicted with time-dependent density functional theory based methods and a sum-over-states model. The doping of heteroatoms induces charge redistribution, tunes the frontier molecular orbital energy gap, changes the composition of some frontier molecular orbitals, and affects the NLO properties of those nanographenes. Among the designed nanographenes, the azulene-based nanographene with two nitrogen atoms at the two ends has the largest static first hyperpolarizability (91.30 × 10⁻³⁰ esu per heavy atom), and the further introduction of two N atoms at the two ends of the central azulene moiety of this nanographene results in a large static second hyperpolarizability while keeping the large static first hyperpolarizability.