The pulmonary surfactant monolayer plays an important role in the respiratory system due to its amphipathic nature. Recently, it was reported that there is a concern about the oxidation of unsaturated lipids in the pulmonary surfactant even by low-level ozone in the ambient air. However, the molecular-level understanding of the reaction mechanism is still limited due to technical difficulties. Sum frequency generation (SFG) spectroscopy is based on a second-order nonlinear optical process and is very sensitive to interfacial molecular structures. Furthermore, heterodyne-detected SFG (HD-SFG) spectroscopy, measuring the interference signal of SFG light, enables us to obtain both the phase and amplitude of SFG electric field and provides more valuable information compared to intensity measurements of SFG light. This review introduces the principle of HD-SFG spectroscopy and its applications to in situ monitoring of the oxidation of phospholipid monolayers, which are major lipids in the pulmonary surfactant.