In the presence of an external static magnetic field, an atomic gas becomes optically active, showing magneto-optical rotation. In the saturated regime, the coherences among the excited substates give a nonlinear contribution to the rotation of the light polarization. In contrast with the linear magneto-optical rotation, the nonlinear counterpart is insensitive to Doppler broadening. By varying the temperature of a cold strontium gas, we observe both regimes by driving the J = 0 → J = 1 transition on the intercombination line. For this narrow transition, the sensitivity to the static magnetic field is typically three orders of magnitude larger than for a standard broad alkali transition.