In this article, we develop a classical electrodynamic theory to study the optical nonlinearities of metallic nanoparticles. The quasi-free electrons inside the metal are approximated as a classical Coulomb-interacting electron gas, and their motion under the excitation of an external electromagnetic field is described by the plasma equations. This theory is further tailored to study second-harmonic generation. Through detailed experiment-theory comparisons, we validate this classical theory as well as the associated numerical algorithm. It is demonstrated that our theory not only provides qualitative agreement with experiments, it also reproduces the overall strength of the experimentally observed second-harmonic signals.