The first hyperpolarizability of aqueous suspensions of polyphosphate stabilized US nanocrystals of different mean sizes and of CdxZn1-xS nanocrystals (x = 0, 0.25, 0.75, 1) was determined by the hyper-Rayleigh scattering technique. We report the first experimental observation that the first hyperpolarizability decreases as the band gap energy increases. This is ascribed to the decrease of the resonance enhancement. The surface modification of 9 nm US nanocrystals with OH-increases the first hyperpolarizability by a factor 1.7. This is explained in terms of the higher polarizability of the surface terminating groups after the OH- modification. Finally, we have also established the size dependence of the first hyperpolarizability for US nanocrystals. Although it increases with the particle size, its values normalized per US pair increase with decreasing of size, leading to an enhancement by 1 order of magnitude for 2 nm particles in comparison with bulk. This is explained by assuming the enhancement of both the bulk contribution from the noncentrosymmetric nanocrystal core and the surface contribution. The enhancement of the bulk contribution is ascribed to quantum confinement effects on the normalized oscillator strengths. The surface contribution becomes more relevant as the size decreases and may be enhanced by several effects, especially surface polarization. A two-level model can explain both the band-gap and the size dependences.