Antimony(III) borates with a stereochemical active lone pair remained unknown, although the first antimony borate was reported more than twenty years ago. Now, the first antimony(III) borate in a closed system is successfully synthesized, namely SbB₃O₆ . Remarkably, SbB₃O₆ not only exhibits an exceptional linear optical response, that is, birefringence of Deltan=0.290 at the wavelength of 546nm, which is the largest among borates, but also has a strong nonlinear optical response of 3.5 times larger than the benchmark KH₂PO₄ , exceeding those of most borates. Theoretical calculations reveal that the coexistence of strong linear and nonlinear optical responses in SbB₃O₆ should be attributable to the synergistic effect of pi-conjugated B-O anionic groups and Sb3+ with stereochemically active lone pair. This work provides a new class of optical bi-functional materials with potential prospects in integrated optical devices.