Strain-dependent electro-optic constant r33 and nonlinear optical coefficient d33 of ZnO are investigated systematically using density-functional theory based linear-response perturbation method. Miscellaneous properties, such as dielectric constants, elastic constants, piezoelectric coefficients, nonlinear optical coefficients, and electro-optic constants of other II-VI compound semiconductors (both Wurtzite and Zinc-blende structures) are also calculated for comparison with the results of unstrained ZnO. Extensive first-principles calculations show that both r33 and d33 of ZnO decrease almost linearly with increasing strains, which indicates that appropriate compression along the [0001] direction of ZnO could enhance its electro-optic and nonlinear optical properties, while stretching may weaken the corresponding properties. Among the involved Wurtzite structures, ZnO has the highest elastic constant, piezoelectric coefficient and electro-optic constant, showing practical importance.