The fast relaxation processes in the excited electronic states of functionalized aza‐boron‐dipyrromethene (aza‐BODIPY) derivatives (1–4) were investigated in liquid media at room temperature, including the linear photophysical, photochemical, and nonlinear optical (NLO) properties. Optical gain was revealed for nonfluorescent derivatives 3 and 4 in the near infrared (NIR) spectral range under femtosecond excitation. The values of two‐photon absorption (2PA) and excited‐state absorption (ESA) cross‐sections were obtained for 1–4 in dichloromethane using femtosecond Z‐scans, and the role of bromine substituents in the molecular structures of 2 and 4 is discussed. The nature of the excited states involved in electronic transitions of these dyes was investigated using quantum‐chemical TD‐DFT calculations, and the obtained spectral parameters are in reasonable agreement with the experimental data. Significant 2PA (maxima cross‐sections ∼2000 GM), and large ESA cross‐sections ∼10−20 m2 of these new aza‐BODIPY derivatives 1–4 along with their measured high photostability reveal their potential for photonic applications in general and optical limiting in particular.