We develop nonlinear optical spectroscopy for nanoscale chemical identification based on femtosecond light sources. The idea is based on our previously developed tip-enhanced spectroscopy. Combining the femtosecond light sources with a metallic tip generates a highly localized and intense electric field at the tip end that can be used as a nanoscale light source for variety of spectroscopy. However, the femtosecond pulse has a broadband spectrum, which often limits the spectral resolution, and moreover the shorter pulse duration results also in the higher nonresonant background generations (e.g. four-wave mixing, self phase modulation, etc) that also limits the sensitivity particularly when probing a nanoscale volume. In this contribution, we introduce several solutions for both spectral resolution and sensitivity issues. In addition to the development of the spectroscopic techniques, it is essential to develop non-optical feedback scheme for tip-sample distance control when using the broadband light source. We report it as well.