Achieving metal-organic frameworks (MOFs) with nonlinear optical (NLO) switching is profoundly important. Herein, the conductive MOFs Cu-TCNQ phase I (Ph-I) and phase II (Ph-II) films were prepared using the liquid-phase-epitaxial layer-by-layer spin-coating method and steam heating method, respectively. Electronic experiments showed that the Ph-II film could be changed into the Ph-I film under an applied electric field. The third-order NLO results revealed that the Ph-I film had a third-order nonlinear reverse saturation absorption (RSA) response and the Ph-II film displayed a third-order nonlinear saturation absorption (SA) response. With increases in the heating time and applied voltage, the third-order NLO response realized the reversible transition between SA and RSA. The theoretical calculations indicated that Ph-I possessed more interlayer charge transfer, resulting in a third-order nonlinear RSA response that was stronger than that of Ph-II. This work applies phase-transformed MOFs to third-order NLO switching and provides new insights into the nonlinear photoelectric applications of MOFs.