Nonlinear optics plays important roles in the research of fundamental physics and the applications of high-performance optoelectronic devices. The bulk nonlinear optical responses arise from the uniform light absorption in noncentrosymmetric crystals, and hence are usually considered to be the collective phenomena of all atoms. Here we show, in contrast to this common expectation, the nonlinear optical responses in antiferromagnets can be selectively accumulated near the surfaces, representing a skin effect. This is because the inversion symmetry, despite being broken globally by magnetism, is barely violated locally deeply inside these antiferromagnets. Using A-type layered antiferromagnets as the representatives, we predict that the spatial-dependent nonlinear optical responses, such as the bulk photovoltaic effect and second harmonic generation, are notable in the top- and bottommost layers and decay rapidly when moving away from the surfaces. Such a phenomenon is strongly associated with the antiferromagnetism and exists in a broad range of antiferromagnets composed of centrosymmetric sublattices, offering promising device applications using these antiferromagnets. Our work uncovers a previously overlooked property of nonlinear optical responses and opens new opportunities for high-performance antiferromagnetic optospintronics.