Recent trends to employ high-index dielectric particles in nanophotonics are motivated by their reduced dissipative losses and large resonant enhancement of nonlinear effects at the nanoscale. Because silicon is a centrosymmetric material, the studies of nonlinear optical properties of silicon nanoparticles have been targeting primarily the third-harmonic generation effects. Here we demonstrate, both experimentally and theoretically, that resonantly excited nanocrystalline silicon nanoparticles fabricated by an optimized laser printing technique can exhibit strong second-harmonic generation (SHG) effects. We attribute an unexpectedly high yield of the nonlinear conversion to a nanocrystalline structure of nanoparticles supporting the Mie resonances. The demonstrated efficient SHG at green light from a single silicon nanoparticle is 2 orders of magnitude higher than that from unstructured silicon films. This efficiency is significantly higher than that of many plasmonic nanostructures and small silicon nanoparticles in the visible range, and it can be useful for a design of nonlinear nanoantennas and silicon-based integrated light sources.