In this thesis, both time-resolved, nonlinear optical spectroscopy and linear spectroscopy are used to investigate the interactions and dynamics of elementary excitations in strongly correlated electron systems. In the first part, we investigate the renormalization of magnetic elementary excitations in the transition metal oxide Cr2O3. We have created a non-equilibrium population of antiferromagnetic spin waves and characterized its dynamics, using frequency- and time-resolved optical spectroscopy of the exciton-magnon transition. We observed a time-dependent pump-probe line shape, which results from excitation induced renormalization of the spin wave band structure. We present a model that reproduces the basic characteristics of the data, in which we postulate the optical nonlinearity to be dominated by interactions with long-wavelength spin waves, and the dynamics due to spin wave thermalization. Using linear spectroscopy, coherent third-harmonic generation and pump-probe experiments, we measured the optical properties of the charge-transfer (CT) gap exciton in Sr2CuO2Cl2, an undoped model compound for high-temperature superconductors. A model is developed which explains the pronounced temperature dependence and newly observed Urbach tail in the linear absorption spectrum by a strong, phonon-mediated coupling between the charge-transfer exciton and ligand field excitations of the Cu atoms. The third-order nonlinear optical susceptibility within the Cu-O plane of Sr2CuO2Cl2 is fully characterized in both amplitude and phase, and symmetry based conclusions are made with respect to the spatial arrangement of the underlying charge distribution. Theoretical considerations ascribe a newly reported resonance in the third-order nonlinear susceptibility at 0.7 eV to a three-photon transition from the ground state to the charge-transfer exciton. An even parity intermediate state of Cudd character, is found to contribute to the transition. Finally, preliminary results of time-resolved pump-probe spectroscopy confirm that the CT exciton or one of its constituent parts couples strongly to phonons, and we suggest ultrafast thermalization with the lattice as the dominating mechanism underlying the dynamical properties.