Advances in developing ultrafast coherent sources operating at extreme ultraviolet (EUV) and x-ray wavelengths allow the extension of nonlinear optical techniques to shorter wavelengths. Here, we describe EUV transient grating spectroscopy, in which two crossed femtosecond EUV pulses produce spatially periodic nanoscale excitations in the sample and their dynamics is probed via diffraction of a third time-delayed EUV pulse. The use of radiation with wavelengths down to 13.3 nm allowed us to produce transient gratings with periods as short as 28 nm and observe thermal and coherent phonon dynamics in crystalline silicon and amorphous silicon nitride. This approach allows measurements of thermal transport on the ~10-nm scale, where the two samples show different heat transport regimes, and can be applied to study other phenomena showing nontrivial behaviors at the nanoscale, such as structural relaxations in complex liquids and ultrafast magnetic dynamics. The invention of the laser, a high-brightness source of coherent light, gave rise to the field of nonlinear optics, with a plethora of nonlinear optical techniques devised and applied to a wide range of problems in science. The r...