Few layered transition metal dichalcogenides (TMD), with an absence of crystal inversion symmetry and outstanding optical characteristics, are frequently applied in studies of nonlinear optics (NLO) for harmonic generation. Related materials are regarded as potential candidates for many optoelectronics applications. In order to enhance and manipulate the intrinsically weak NLO responses, TMD's have been fabricated into heterostructures in recent years. The basic physics of harmonic generation and of TMD optical responses, as well as the interactions in TMD hybrid structures are introduced briefly, and the current state-of-the-art in the performance of TMDs in harmonic generation are reviewed. A particular focus is made on heterostructure studies to enhance and manipulate the response, which represent the core issues for devices and applications.