Nonlinear optical phenomena enable novel photonic and optoelectronic applications. Especially metallic nanoparticles and thin films with nonlinear optical properties offer the potential for micro-optical system integration. For this purpose, new nonlinear materials need to be continuously identified, investigated, and utilized for nonlinear optical applications. While noble metal nanoparticles, nanostructures, and thin films of Ag and Au were widely studied, iridium (Ir) nanoparticles and ultra-thin films have not been investigated yet. Here, we present a combined theoretical and experimental study on the linear and nonlinear optical properties of Ir nanoparticles deposited by atomic layer deposition (ALD). Linear optical constants, i.e., the effective refractive index n and extinction coefficient k, were evaluated at different growth stages of nanoparticle formation. Both linear and nonlinear optical properties of these Ir ALD coatings were calculated theoretically using Bruggeman and Maxwell-Garnett theories. The third-order susceptibility of Ir nanoparticle samples was experimentally investigated using the Z-scan technique. Overall, our studies demonstrate the potential of ultrathin Ir NPs as an alternative nonlinear optical material at an atomic scale.