The statistical properties of second harmonic generation in a single mode laser is investigated. The expressions of the probability distribution function, second and third factorial moments of the photon counting m in second harmonic light are derived from a full saturation laser theory. Compared to the experimental measurements, good agreement is obtained near threshold region. It is shown that the fluctuations of the fundamental and second harmonic light in the laser field decrease as the cavity decay constant increases. However, the multiplicative noise can enhance the fluctuation of fundamental light, meanwhile it can reduce the fluctuation of the second harmonic light.