This paper investigates regularized stochastic gradient descent (SGD) algorithms for estimating nonlinear operators from a Polish space to a separable Hilbert space. We assume that the regression operator lies in a vector-valued reproducing kernel Hilbert space induced by an operator-valued kernel. Two significant settings are considered: an online setting with polynomially decaying step sizes and regularization parameters, and a finite-horizon setting with constant step sizes and regularization parameters. We introduce regularity conditions on the structure and smoothness of the target operator and the input random variables. Under these conditions, we provide a dimension-free convergence analysis for the prediction and estimation errors, deriving both expectation and high-probability error bounds. Our analysis demonstrates that these convergence rates are nearly optimal. Furthermore, we present a new technique for deriving bounds with high probability for general SGD schemes, which also ensures almost-sure convergence. Finally, we discuss potential extensions to more general operator-valued kernels and the encoder-decoder framework.