By using the perturbation method, an effective nonlinear direct current (DC) and alternating current (AC) response of nonlinear composites with cylindrical coated inclusions randomly embedded in a host medium is studied under the action of an external electric field Ea=E0 + E1 sinωt+E3 sin3ωt with different amplitudes and frequencies. The local potentials of composite at all harmonics are given in the inclusion core, the coated layer and the host regions. All effective nonlinear responses of composites and the relationship between the effective nonlinear responses at all harmonics are also deduced for the cylindrical coated inclusions in a dilute limit.