An organic–inorganic nanocomposite (LN/PMMA) was prepared using nearly stoichiometric lithium niobate (LiNbO3; LN) nanoparticles dispersed homogeneously into a polymer matrix, poly(methyl methacrylate) (PMMA). This composite is having anisotropic LN nanocrystals, oriented randomly in an isotropic host matrix of PMMA. So far, to the best of our knowledge, different nonlinear optical (NLO) properties have been studied for organic–inorganic nanocomposites in thin film and waveguide form, the thickness of which was in micron and submicron order. In this article, for the first time, we have presented SHG properties of thick LN/PMMA nanocomposites of thickness, 0.1 mm and above. LN/PMMA nanocomposite samples of different thickness and different concentrations of LN nanoparticles were fabricated. The attenuation coefficients of these samples, measured at laser wavelengths of 1064 nm and 532 nm, show a deviation from Beer-Lambert law. In the LN/PMMA nanocomposite, the effect of the randomly oriented LN nanoparticles on second harmonic generation (SHG) has been studied as a function of (a) input pulse energy of the fundamental laser (1064 nm), (b) LN nanoparticle concentration and (c) the sample thickness. The net effect was found to be the result of two competitive phenomena; harmonic generation and different losses from LN nanoparticles. Thermal effects at high input pulse energy also play important role in second harmonic generation. Through these studies, one can get an idea about the collective behavior of LN nanoparticles, particularly effect on their linear and nonlinear optical properties, and how they can be dispersed in isotropic host matrices (to different concentration levels) to achieve the desired NLO effect.