Abstract An interacting electron‐hole pair in a parabolic quantum dot (QD), under growth‐direction applied electric field, is studied within the framework of the effective‐mass approximation. The binding energies of the ground and the three low‐excited states of the confined excitons are calculated as a function of the confined potential radius and as a function of the intensity of the applied electric field. We find that the effect of the applied electric field on the binding energy of the low‐lying states of the confined exciton depends strongly on the quantum number ( N , m ), but the binding energy of the ground state is practically not influenced by the presence of the applied electric field in the regime of very strong confinement. The nonlinear optical rectification between the ground ( N = 0, m = 0) and low‐excited ( N = 1, m = 0) states have been examined based on the computed energies and wave functions in details for the excitons. The results show that the optical rectification susceptibility obtained in the spherical QD can reach the magnitude of 10 −2 m/V, which is 3–4 orders of magnitude higher than that in one‐dimensional QDs. It is found that the second‐order nonlinear optical properties of exciton states in a QD are strongly affected by the confinement strength and the electric field.