Recently, nonlinear responses have been actively studied in both experiments and theory. Particularly interesting are inversion-symmetry broken systems, where an even-order nonlinear electrical conductivity can be nonzero, resulting in nonreciprocity. Second-order nonlinear conductivities attract much attention because of their sensitivity to detect inversion-symmetry breaking in materials and their functionalities. However, while the nonlinear response has been actively studied in noninteracting systems for a long time, the nonlinear response in strongly correlated materials is still poorly understood. This paper analyzes the nonlinear conductivity in a correlated noncentrosymmetric system, namely a Kondo lattice system with Rashba type spin-orbit coupling. We mainly focus on the ferromagnetic phase, in which the second-order nonlinear conductivity becomes finite. Remarkably, we find that the second-order conductivity becomes only finite perpendicular to the ferromagnetic magnetization and has a strong spin dependence; due to a gap at the Fermi energy for one spin direction, the linear and nonlinear conductivity is only finite for the ungapped spin direction. Finally, we analyze sign changes in the nonlinear conductivity, which can be explained by a combination of correlation effects and the energetic shift due to the occurring ferromagnetism.