The invention relates to a z scanning optical nonlinear measurement device and method capable of observing and monitoring in real time. The device mainly comprises a light source modulating and monitoring part, a data collecting part and a luminance observing part. The device adopts two light sources, so that the light sources can be switched conveniently, the pulse width and the pulse period of an emitted laser can be controlled through a signal generator, and the power is adjustable; the data of a transmission open hole and a transmission closed hole of a measured sample can be measured; and the data of a reflection open hole can be measured. According to the invention, the device and the method are suitable for not only the measurement of the nonlinear absorption coefficient and the nonlinear refractive index of a transparent material, but also the nonlinear measurement of an opaque material. A micro-objective, a lighting source and a CCD (Charge Coupled Device) camera are added for a sample moving platform in the device, so that the surface feature of the sample can be observed in real time, and the impact on the measurement data caused by the change of the feather of the sample can be avoided. While an oscilloscope is added to monitor the wave form and the power of the acting laser in real time, and the precision and the accuracy of the nonlinear measurement of material are improved.