Chiral magnets, which break both spatial inversion and time reversal symmetries, carry a potential for quadratic optical responses. Despite the possibility of enhanced and controlled responses through the magnetic degree of freedom, the systematic understanding remains yet to be developed. We here study nonlinear optical responses in a prototypical chiral magnetic state with a one-dimensional conical order by using the second-order response theory. We show that the photovoltaic effect and the second harmonic generation are induced by asymmetric modulation of the electronic band structure under the conical magnetic order, and the coefficients, including the sign, change drastically depending on the frequency of incident lights, the external magnetic field, and the strength of spin-charge coupling. We find that both effects can be enormously large compared to those in the conventional nonmagnetic materials. Our results would pave the way for next-generation optical electronic devices, such as unconventional solar cells and optical sensors, based on chiral magnets.