Infrared nonlinear optical crystals, which can generate coherent mid- and far-infrared laser through frequency conversion technology, play an increasingly significant role in military and civil fields. Chalcogenides and pnictides have been widely regarded as excellent candidates for mid- and far-infrared nonlinear optical crystals. Over the last two decades, chalcogenide nonlinear optical materials have been widely investigated and applied, however, pnictides have been rarely studied for their nonlinear optical properties. The advances of pnictide nonlinear optical materials has been reviewed from the aspect of new material exploration. These compounds were divided into three types i.e. classical chalcopyrite, structures with homoatomic bonds and structures with tetrahedra units. The crystal structures, physical properties and structure-properties relationships were analyzed. Finally, the future development of pnictide nonlinear optical materials was discussed.