The nonlinear optical response of self-assembled quantum dots (QD) is relevant to the application of QD-based devices in nonlinear optics, all-optical switching, slow light, and self-organization. Theoretical investigations are based on numerical simulations of a spatially and spectrally resolved rate equation model, which takes into account the strong coupling of the quantum dots to the carrier reservoir created by the wetting layer (WL) states. The complex dielectric susceptibility of the ground state is obtained. The saturation is shown to follow a behavior in between the one for a dominantly homogeneously and inhomogeneously broadened medium. Approaches to extract the nonlinear refractive index change by fringe shifts in a cavity or self-lensing are discussed. Experimental work on saturation characteristic of InGa/GaAs quantum dots close to the telecommunication O-band (1240–1280 nm) and of InAlAs/GaAlAs QD at 780 nm is described and the first demonstration of the cw saturation of absorption in room temperature QD samples is discussed in detail.