Semiconductor nanowires (NWs) are promising for realizing various on‐chip nonlinear optical devices, due to their nanoscale lateral confinement and strong light–matter interaction. However, high‐intensity pulsed pump lasers are typically needed to exploit their optical nonlinearity because light couples poorly with nanometric‐size wires. Here, microwatts continuous‐wave light pumped second harmonic generation (SHG) in AlGaAs NWs is demonstrated by integrating them with silicon planar photonic crystal cavities. Light–NW coupling is enhanced effectively by the extremely localized cavity mode at the subwavelength scale. Strong SHG is obtained even with a continuous‐wave laser excitation with a pump power down to urn:x-wiley:18638880:media:lpor201800126:lpor201800126-math-0001W, and the cavity‐enhancement factor is estimated around 150. Additionally, in the integrated device, the NW's SHG is more than two orders of magnitude stronger than third harmonic generations in the silicon slab, though the NW only couples with less than 1% of the cavity mode. This significantly reduced power requirement of NW's nonlinear frequency conversion would promote NW‐based building blocks for nonlinear optics, especially in chip‐integrated coherent light sources, entangled photon pairs and signal processing devices.