The article reviews recent measurements using the Magnetization induced Second Harmonic Generation (MSHG) from ultrathin metallic films and multilayers. Emphasis is put on the high surface and interface sensitivity and the influence of quantum well states (QWS). With the example of a Ni/Cu/Ni/Cu(001) multilayer structure we show that there is a net (magnetic) contribution from the symmetrically buried lower Ni layer because of the presence of QWS in the Cu spacer layer, which makes the observation of antiferromagnetic coupling in the Ni/Cu/Ni/Cu(001) structure possible with MSHG.