The anisotropic nonlinear magneto-optical response from Fe/Au͑001͒ superlattices is studied. Perfect singlecrystalline order through the whole thickness of the multilayer is observed. The magneto-optical signals are measured in both the longitudinal and transversal configurations. A strong fourfold anisotropy of nonlinear Kerr rotation angle is demonstrated, in addition to the anisotropic second harmonic intensity changes. The results are described in terms of a simple phenomenological model, that involve both dipole and quadrupole nonlinear-optical interactions. Furthermore, general, model-independent symmetry properties of the nonlinear magneto-optical response are established.