In the semiclassical theory of nonlinear optics, the nonlinear response of the medium is typically treated perturbatively and characterized in terms of just a few phenomenological parameters. The remaining task, in this case, is to measure these coefficients as a function of frequency, wavevector, temperature, etc. However, when the medium becomes nonlinear at the level of a single photon, this paradigm is no longer valid. In this regime, the photons are strongly admixed with the microscopic degrees of freedom of the material (e.g., excitons, plasmons, phonons, or polarization) and the photon-photon interactions have to be treated non-perturbatively. As a result, theoretical treatments of the quantum nonlinear response of the medium requires accurate microscopic models, as well as methods to solve for the strongly-interacting, quantum dynamics. Such theoretical approaches are increasingly needed due to the rise (driven by experimental efforts in quantum information science) in controllable quantum systems, strongly coupled to light across the electromagnetic spectrum. In this talk, I will discuss the broad phenomenology of quantum nonlinear optics and detail current theoretical methods through examples from my own research in Rydberg polariton systems, two-dimensional van der Waals materials, and circuit quantum electrodynamics.