Ultrafast magnetization dynamics of nickel has been studied for different degrees of electronic excitation, using pump-probe second-harmonic generation (SHG) with 150 fs, 800 nm laser pulses of various fluences. Information about the electronic and magnetic response to laser irradiation is obtained from sums and differences of the SHG intensity for opposite magnetization directions. The classical M (T) curve can be reproduced for delay times longer than the electron thermalization time of about 280 fs, even when electrons and lattice have not reached thermal equilibrium. Further we show that the transient magnetization reaches its minimum≈ 50 fs before electron thermalization is completed.