Molecular polaritons have gained considerable attention due to their potential to control nanoscale molecular processes by harnessing electromagnetic coherence. Although recent experiments with liquid-phase vibrational polaritons have shown great promise for exploiting these effects, significant challenges remain in interpreting their spectroscopic signatures. We develop a quantum-mechanical theory of pump-probe spectroscopy for this class of polaritons based on the quantum Langevin equation and the input-output theory. Comparison with recent experimental data shows good agreement upon consideration of the various vibrational anharmonicities that modulate the signals. Finally, a simple and intuitive interpretation of the data based on an effective mode-coupling theory is provided. Our work provides a solid theoretical framework to elucidate nonlinear optical properties of molecular polaritons as well as to analyze further multidimensional spectroscopy experiments on these systems.