The solvatochromic fluorophore Nile Red, 9-diethylamino-5H-benzo[a]phenoxazine-5-one, is one of the most commonly used stains to enhance contrast of lipid-rich areas of microscopic biosamples. Quite surprisingly, relatively little is known about the spectrally-resolved two-photon absorption (2PA) properties of this dye despite its promising features for two-photon microscopy of biological matter. For this reason, the two-photon solvatochromism of Nile Red still remains an uncharted territory as well. Also, no study has yet reported on how electron-withdrawing substituents attached to the Nile Red backbone affect its solvatochromic properties and two-photon brightness. In this paper, we demonstrate how solvent polarity influences the one- and two-photon absorption spectra of Nile Red as well as its fluorescence parameters, and we present new analogues that contain -CF3, -F and -Br substituents on its eastern side. Two-photon excited fluorescence experiments in a broad spectral range (780-1240 nm) and electronic structure calculations show that both the nature and location of the substituent have particular influence on the strength of 2PA, peaking in all cases at approx. 860 and 1050 nm. 2PA cross sections are higher at 1050 nm than at 860 nm, which suggests that Nile Red and its analogues are best suited for two-photon imaging employing excitation in the NIR-II optical transparency window of biological tissues.