Holey fibre (HF) is a new type of fibre that uses rings of air holes around a solid core toconfine light. A small core HF with a high air fill fraction can have effective nonlinearitycoefficient of around 10-100 times greater than conventional fibre. Apart from that, its dispersion value is also highly tailorable simply by changing the structural dimensions. These two characteristics make HFs attractive as a nonlinear medium. This thesis reports the first demonstration of various nonlinear fibre devices based on HFs. Thediscrete Raman amplifier is an attractive option to extend optical transmission systems into the optical communication bands outside the conventional erbium doped fibre amplifier (EDFA). We demonstrated a high gain discrete Raman L-band amplifier using a relatively short highly nonlinear HF. We also demonstrated a high extinction ratio, SRS based, intensity modulator using the same HF. Stimulated Brillouin scattering (SBS) is the most dominant nonlinear effect in optical fibres for a narrow linewidth system. SBS based devices could have an extremely low threshold value if highly nonlinear HF were to be used. We demonstrated a HF based Brillouin laser with a high experimentally observed threshold value. This is found to be mainly due to reduction in the effective gain coefficient caused by structural non-uniformity along the HF length. This has motivated us to study the relation between HF structural parameters and the Brillouin characteristics. This was done using two techniques: Brillouin optical time domain reflectometry (BOTDR) and the pump probe technique. A spectrally sliced pulse source is a cost effective solution to a multiwavelength transmitter. We demonstrated a HF based spectrally sliced pulse source. This was done by utilizing self phase modulation (SPM) to generate a supercontinuum in a normally dispersive HF before slicing the spectrum using an arrayed waveguide grating. Wavelength conversion is an important enabling technology for complex future optical networks. We showed in two separate experiments that by using a short length highly nonlinear HF, efficient wavelength conversion based on XPM as well as FWM can be achieved. A nonlinear thresholding device can improve the contrast of a pattern-recognition signature in an OCDMA system. Using a short highly nonlinear HF, we demonstrated a nonlinear thresholder for use in a super-structured fibre Bragg grating (SSFBG) based OCDMA receiver.