The surface and bulk contributions to the second-order nonlinear optical response of CdSe nanocrystals is studied. The first hyperpolarizability, βn, was measured for the nanocrystals in solution using the hyper-Rayleigh scattering method. Tri-n-octylphosphineoxide-capped nanocrystals show an enhancement in the value of the second hyperpolarizibility per unit cell, β, with reduced size. The two-state model can explain the enhancement for nanocrystals with radius down to about 1.7 nm, related with the concentration of oscillator strength, but for smaller particles the enhancement is larger than the prediction. This additional enhancement is assigned to a surface response. The contribution of surface ligands to the second harmonic signal for the nanocrystals was investigated by exchanging the tri-n-octylphosphineoxide ligands with the nonlinear chromophore nitrothiophenol. Surface exchange was evidenced through the change in particle solubility, by a substantial reduction of the fluorescence intensity, and by the vibrational spectra. The substitution to nitrothiophenol ligands leads to a size-dependent enhancement of βn compared to the original particles. The difference in βn between the surface-substituted and nonsubstituted particles scales with the number of surface sites for nanocrystals of different sizes. Surface exchange also leads to an enhancement in βn for a rod-shaped sample (aspect ratio 3.3:1). The contributions to βn for such nanocrystals can therefore be attributed to a combination of a bulk-like part arising from the nonlinear electronic response of Cd-Se bonds and a surface part effected by the nature of the ligands.