We review recent theoretical progress in understanding physical processes of composite effects on enhanced third-order nonlinear optical responses of various kinds of the recently-proposed nonlinear optical materials, namely, colloidal nanocrystals with inhomogeneous metallodielectric particles or a graded-index host, metallic films with inhomogeneous microstructures adjusted by ion doping or temperature gradient, composites with compositional gradation or graded particles, and magneto-controlled ferrofluid-based nonlinear optical materials.