Two-dimensionl (2D) layered transition metal dichalcogenides (TMDCs) have received great attention in integrated on-chip photonic and photoelectric applications due to their unique physical properties including indirect-to-direct optical bandgap transition, broad bandgap from visible band to near-infrared band, as well as their excellent optoelectric properties derived from the 2D confinement. Recently, with the in-depth study of their fundament nonlinear optical properties, these 2D layered TMDCs have displayed significant potential applications in nonlinear optical devices. In this review, we focus on recent research progress of second harmonic generation (SHG) studies of TMDCs. Firstly, we briefly introduce the basic theory of nonlinear optics (mainly about SHG). Secondly, the several intrinsic SHG relative properties in TMDCs including layer dependence, polarization dependence, exciton resonance effect, valley selection rule are discussed. Thirdly, the latest SHG modulation and enhancement studies are presented, where the electric field, strain, plasmonic structure and micro-cavity enhancement are covered. Finally, we will summarize and give a perspective of possible research direction in the future. We believe that a more in-depth understanding of the SHG process in 2D layered TMDCs as well as the material structure and modulation effects paves the way for further developing the ultra-thin, multifunctional 2D nonlinear optical devices.