The nonlinear optical characteristics in asymmetric coupled Zn 1-x Cd x Se/ZnSe quantum wells have been investigated by using the reflective second harmonic generation (SHG) measurement technique. The SHG signal from the sample was about ten fold bigger than that from the ZnSe substrate. The photoluminescence spectra of Zn 0.70 Cd 0.30 Se quantum wells and ZnSe substrate were measured. The dependence of the SHG intensity (p in/p out, p in/s out) in the asymmetric coupled quantum wells on the azimuthal angle were studied respectively, which demonstrated the obvious nonlinear optical anisotropy.