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Free-electron lasers and high-harmonic-generation table-top systems are new sources of extreme-ultraviolet to hard X-ray photons, providing ultrashort pulses that are intense, coherent and tunable. They are enabling a broad range of nonlinear optical and spectroscopic methods at short wavelengths, similar to those developed in the terahertz to ultraviolet regimes over the past 60 years. The extreme-ultraviolet to X-ray wavelengths access core transitions that can provide element and orbital selectivity, structural resolution down to the sub-nanometre scale and, for some methods, high momentum transfers across typical Brillouin zones; the possibilities for polarization control and sub-femtosecond time resolution are opening up new frontiers in research. In this Roadmap, we review the emergence of this field over the past 10 years or so, covering methods such as sum or difference frequency generation and second-harmonic generation, two-photon absorption, stimulated emission or Raman spectroscopy and transient grating spectroscopy. We then discuss the unique opportunities provided by these techniques for probing elementary dynamics in a wide variety of systems.