Active research on halide perovskites has given us a deep understanding of this family of materials and their potential for applications in advanced optoelectronic devices. One of the prominent outcomes is the use of perovskite materials for nonlinear optical applications. Two-photon absorption in perovskites, in particular their nanostructures, has been extensively studied and shows huge promise for many applications. However, we are still far from a thorough understanding of two-photon absorption in halide perovskites from a micro to macro perspective. Here we summarize different techniques for studying the two-photon absorption in nonlinear optical materials. We discuss the in-depth photophysics in two-photon absorption in halide perovskites. A comprehensive summary about the factors which influence two-photon absorption provides the direction to improve the two-photon absorption properties of halide perovskites. A summary of the recent applications of two-photon absorption in halide perovskites provides inspirations for engineers to utilize halide perovskites in two-photon absorption device development. This review will help readers to have a comprehensive and in-depth understanding of the research field of two-photon absorption of halide perovskites from microscopic mechanisms to applications. The article can serve as a manual and give inspiration for future researchers.