Second harmonic generation (SHG) of 2D materials has received considerable attention because of the enhanced response to the incident light as compared to that of their bulk counterparts. A significant SHG effect in a new 2D pentagon‐based structure of ZnS2 sheet, penta‐ZnS2, is reported for the first time. On the basis of first‐principles calculations combined with global structure search and independent particle approximation, penta‐ZnS2 is found to be dynamically, thermally, and mechanically stable. Unlike most reported 2D materials with only in‐plane SHG response, penta‐ZnS2 exhibits giant out‐of‐plane SHG susceptibility, which is two to three orders of magnitude larger than that of Janus 2D materials, due to the lack of centrosymmetry and out‐of‐plane mirror symmetry of its geometric structure. The underlying mechanism of the large SHG effect can be applied to other pentagon‐based sheets consisting of different elements, thus expanding the family of 2D materials with strong out‐of‐plane SHG response.