Structuring optical materials on a nanometer scale can lead to artificial effective media, or metamaterials, with strongly altered optical behavior. Metamaterials can provide a wide range of linear optical properties such as negative refractive index, hyperbolic dispersion, or magnetic behavior at optical frequencies. Nonlinear optical properties, however, have only been demonstrated for patterned metallic films which suffer from high optical losses. Here we show that second-order nonlinear metamaterials can also be obtained from non-metallic centrosymmetric constituents with inherently low optical absorption. In our proof-of-principle experiments, we have iterated atomic-layer deposition (ALD) of three different constituents, A = Al2O3, B = TiO2 and C = HfO2. The centrosymmetry of the resulting ABC stack is broken since the ABC and the inverted CBA sequences are not equivalent - a necessary condition for non-zero second-order nonlinearity. To the best of our knowledge, this is the first realization of a bulk nonlinear optical metamaterial.