In a recent Letter [T.~Dornheim emph{et al.}, Phys.~Rev.~Lett.~textbf{125}, 085001 (2020)], we have presented the first emph{ab initio} results for the nonlinear density response of electrons in the warm dense matter regime. In the present work, we extend these efforts by carrying out extensive new path integral Monte Carlo (PIMC) simulations of a emph{ferromagnetic} electron gas that is subject to an external harmonic perturbation. This allows us to unambiguously quantify the impact of spin-effects on the nonlinear density response of the warm dense electron gas. In addition to their utility for the description of warm dense matter in an external magnetic field, our results further advance our current understanding of the uniform electron gas as a fundamental model system, which is important in its own right.