A theory of spectral hole burning (SHB) by light pulses of an arbitrary shape and duration is proposed. One- and two-step (photon-gated) SHB processes induced by laser pulses in two-, three- and four-level systems are theoretically considered. It is shown that for two-step SHB there exists a possibility of obtaining spectral holes which are narrower than in the one-step SHB with monochromatic light. In case of one- and two-step SHB the dependence of the shape of the hole on the duration of the burning pulse is considered (on two-step SHB the second pulse is delta-pulse).