Warm dense matter (WDM)—an extreme state with high temperatures and densities that occurs, e.g., in astrophysical objects—constitutes one of the most active fields in plasma physics and materials science. These conditions can be realized in the lab by shock compression or laser excitation, and the most accurate experimental diagnostics is achieved with lasers and free electron lasers which is theoretically modeled using linear response theory. Here, we present first ab initio path integral Monte Carlo results for the nonlinear density response of correlated electrons in WDM and show that for many situations of experimental relevance nonlinear effects cannot be neglected.