As a significant category of optical functional materials, nonlinear optical (NLO) materials play a key role in the laser field, and exploring and screening potential NLO candidate materials are crucial for material design. The main challenge for exploring NLO materials is how to balance the contradiction among the NLO quality factors in one compound: band gaps, laser damage thresholds, birefringences, second harmonic generation (SHG) responses and infrared-cutoff edges (especially for the infrared range). In this research work, a series of oxyhalide materials that have superiorities over chalcogenides in open-system growth conditions are studied theoretically and experimentally. Combining experimental measurement and first-principles calculation, we find that bismuth oxyhalides can achieve wide IR absorption edges extending to the important atmospheric window (8-14 mu m), relatively large band gaps (2-4 eV) and large laser damage thresholds. Inversely, alkaline-metal oxyhalides can reach the deep ultraviolet (UV) region with cutoff edges shorter than 200 nm. The oxyhalides with comparable SHG intensities with the UV benchmark KH2PO4 and IR application benchmark crystal AgGaS2 are analyzed, and this shows that enhancing the intensity of NLO activity and densities of active units is one way to enlarge SHG responses. The NLO phenomenon is exemplified in bismuth oxyhalides since large orbital hybridization interactions of (O-p, Bi-sp) are induced by the stereochemical activity of lone pairs. Besides, owing to the anisotropy distribution of electronic density, bismuth oxyhalides exhibit suitable birefringence, meeting the phase matching conditions. And especially, BiOCl demonstrates a large birefringence (>0.2), making it a potential birefringence material. It is also revealed that the criticism for the NLO quality factors can be met by controlling the metal cation, halide ion, and the ratio of metal and oxygen. The balance among NLO quality factors (band gaps, SHG effects, birefringences, etc.) proves that oxyhalides are competitive and promising candidates with large laser damage thresholds for potential application in the NLO field.