Nonlinear optical activities, especially second harmonic generation (SHG), are key phenomena in inversion-symmetry-broken two-dimensional (2D) transition metal dichalcogenides (TMDCs). On the other hand, anisotropic nonlinear optical processes are important for unique applications in nano-nonlinear photonic devices with polarization functions, having become one of focused research topics in the field of nonlinear photonics. However, the strong nonlinearity and strong optical anisotropy do not exist simultaneously in common 2D materials. Here, we demonstrate strong second-order and third-order susceptibilities of 64 pm/V and 6.2×10⁻¹⁹ m²/V², respectively, in the even-layer PdPSe, which has not been discovered in other common TMDCs (e.g., MoS₂). Strikingly, it also simultaneously exhibited strong SHG anisotropy with an anisotropic ratio of ~45, which is the largest reported among all 2D materials to date, to the best of our knowledge. In addition, the SHG anisotropy ratio can be harnessed from 0.12 to 45 (375 times) by varying the excitation wavelength due to the dispersion of \({\chi }^{(2)}\) values. As an illustrative example, we further demonstrate polarized SHG imaging for potential applications in crystal orientation identification and polarization-dependent spatial encoding. These findings in 2D PdPSe are promising for nonlinear nanophotonic and optoelectronic applications.