We theoretically study the magneto-optical properties of monolayer phosphorene under a perpendicular magnetic field. We evaluate linear, third-order nonlinear, and total absorption coefficients and relative refractive index changes as functions of the photon energy and the magnetic field, and show that they are strongly influenced by the magnetic field. The magneto-optical absorption coefficients and relative refractive index changes appear in two different regimes: the microwave to THz and the visible frequency. The amplitude of intra-band transition peaks is larger than that of the inter-band transitions. The resonant peaks are blue-shifted with the magnetic field. Our results demonstrate the potential of monolayer phosphorene as a new two-dimensional material for applications in nano-electronic and optical devices as a promising alternative to graphene.