We present a theoretical description of composite nonlinear optical materials having the form of a layered structure of two or more components that differ both in their linear and nonlinear optical properties. We assume that the thickness of each layer is much smaller than an optical wavelength. We present explicit predictions for the second-order nonlinear optical susceptibilities describing second-harmonic generation and the Pockels effect and for the third-order susceptibility describing the nonlinear index of refraction. We find that under experimentally realizable conditions the nonlinear susceptibility of such a composite can exceed those of its constituent materials.