Thermoelectric material SnSe has aroused world-wide interests in the past years, and its inherent strong lattice anharmonicity is regarded as a crucial factor for its outstanding thermoelectric performance. However, the understanding of lattice anharmonicity in SnSe system remains inadequate, especially regarding how phonon dynamics are affected by this behavior. In this work, we present a comprehensive study of lattice dynamics on Na0.003Sn0.997Se0.9S0.1 by means of neutron total scattering, inelastic neutron scattering, Raman spectroscopy as well as frozen-phonon calculations. Lattice anharmonicity is evidenced by pair distribution function, inelastic neutron scattering and Raman measurements. By separating the effects of thermal expansion and multi-phonon scattering, we found that the latter is very significant in high-energy optical phonon modes. The strong temperature-dependence of these phonon modes indicate the anharmonicity in this system. Moreover, our data reveals that the linewidths of high-energy optical phonons become broadened with mild doping of sulfur. Our studies suggest that the thermoelectric performance of SnSe could be further enhanced by reducing the contributions of high-energy optical phonon modes to the lattice thermal conductivity via phonon engineering.