Semiconductor based micro- and nano-structures grown in a systematic and controlled way using selective area growth are emerging as a promising route toward devices for integrated optical circuitry in optoelectronics and photonics field. This dissertation focuses on the experimental investigation of the nonlinear optical effects in selectively grown gallium nitride micro-pyramids that act as optical cavities, zinc oxide submicron rods and indium gallium nitride multiple quantum well core shell submicron tubes on the apex of GaN micro pyramids that act as optical antennae. Localized spatial excitation of these low dimensional semiconductor structures was optimized for nonlinear optical light (NLO) generation due to second harmonic generation (SHG) and multi-photon luminescence (MPL). The evolution of both processes are mapped along the symmetric axis of the individual structures for multiple fundamental input frequencies of light. Effects such as cavity formation of generated light, electron-hole plasma generation and coherent emission are observed. The efficiency and tunability of the frequency conversion that can be achieved in the individual structures of various geometries are estimated. By controlling the local excitation cross-section within the structures along with modulation of optical excitation intensity, the nonlinear optical process generated in these structures can be manipulated to generate coherent light in the UV-Blue region via SHG process or green emission via MPL process. The results show that these unique structures hold the potential to convert red input pulsed light into blue output pulsed light which is highly directional.