Low-dimensional lead-free metal halides, which feature strong quantum confinement effects, have recently attracted great attention due to their excellent optical properties and favorable stability under ambient conditions. Although controllable synthetic strategies, structural characterization and linear optical properties of lead-free metal halides have been widely reported, relevant studies on their nonlinear optical properties are still lacking, which hinders their applications in nonlinear photonic devices. Herein, two types of millimeter-level high-crystallinity cesium copper halide single crystals (SCs), i.e., Cs₃Cu₂I₅ and CsCu₂I₃, with high photoluminescence (PL) quantum yields, are synthesized using an antisolvent vapor-assisted crystallization method. Their phonon energies are comparatively studied by using Raman spectroscopy and temperature-dependent PL spectroscopy. More importantly, comparison studies of the multiphoton absorption (MPA) properties of Cs₃Cu₂I₅ and CsCu₂I₃ SCs are performed for the first time. Strong multiphoton excited PL emissions with large anisotropy factors are observed in these two types of SCs. Through the measurement of nonlinear transmittance, it is found that CsCu₂I₃ SCs exhibit much larger MPA coefficients compared with Cs₃Cu₂I₅ SCs, which is attributed to the larger density of states in the former. This work broadens the applications of cesium copper halides in nonlinear optoelectronics and light polarization related devices.