We theoretically demonstrate the ability of electron beams to probe the nonlinear photonic response with nanometer spatial resolution, well beyond the capabilities of existing optical techniques. Although the interaction of electron beams with photonic modes is generally weak, the use of optical pumping produces stimulated electron-light interactions that can reach order-unity probabilities in photon-induded near field electron microscopy (PINEM). Here, we demonstrate that PINEM can locally and quantitatively probe the nonlinear optical response. Specifically, we predict a dependence of PINEM electron spectra on the sample nonlinearity that can reveal the second-harmonic (SH) response of optical materials with nanometer resolution, observed through asymmetries between electron energy losses and gains. We illustrate this concept by showing that PINEM spectra are sensitive to the SH near field of centrosymmetric structures and by finding substantial spectral asymmetries in geometries for which the linear interaction is reduced.