Four heteroanionic oxyhalides, CeClMoO, CeBrMoO, CeClWO, and CeBrWO, have been studied as multifunctional materials, which show a combination of good second harmonic generation (SHG) response and photocurrent signals. Millimeter-sized CeHaVIO (Ha = Cl, Br; VI = Mo, W) crystals were grown by halide salt flux. The crystal structure of CeHaVIO crystals was accurately determined by single-crystal X-ray diffraction. CeClMoO, CeBrMoO, and CeBrWO are isostructural to each other, and crystallize in the acentric LaBrMoO4 structure type. CeClWO crystallizes in a new structure type with unit cell parameters of = 19.6059(2) Å, = 5.89450(10) Å, = 7.80090(10) Å, and β = 101.4746(8)°. The bandgaps of CeHaVIO fall into the range of 2.8(1)-3.1(1) eV, which are much smaller than those of isotypic LaHaVIO (Ha = Cl, Br; VI = Mo, W) in the range of 3.9(1)-4.3(1) eV. The narrowing of bandgaps in CeHaVIO originates from the presence of partially filled 4f orbitals of cerium atoms, which was confirmed by density functional theory (DFT) calculations. The moderate bandgaps make CeHaVIO suitable for infrared nonlinear optical (IR NLO) applications. CeBrMoO and CeBrWO exhibit moderate SHG responses of 0.58x AGS and 0.46x AGS, respectively, and are both type-I phase-matching materials. Moderate SHG response, easy growth of crystals, high ambient stability, and type-I phase-matching behavior make CeBrMoO and CeBrWO great materials for IR NLO applications. CeHaVIO films also exhibited good photocurrent response upon light radiation. This work demonstrates the rich structural chemistry of the REHaVIO (RE = Y, La-Lu; Ha = Cl, Br; VI = Mo, W) family and the potential presence of more multifunctional materials.