The objective of the present study is to explore the non-linear behaviour of Ce-doped ZnO system. Undoped and Ce-doped ZnO nanoparticles of size ~23–70 nm were prepared by sol-gel co-precipitation approach. There was complete absence of Ce-containing phase until 3 at.% dopant. Band-gap decreased in a linear manner from 3.262 to 3.212 eV on doping with Ce. Emission peaks at 360 and 380 nm were observed in the PL spectra. However, at 7 at.% dopant, CeO2 and Ce2O3 were observed. Interestingly, a significant increase in second harmonic generation (SHG) signal intensity of ~3.5 times was observed when the dopant concentration was increased from 3 to 7 at.% in ZnO nanoparticles. The SHG signal in doped-ZnO was governed by micro-strain such that it increased with decrease of micro-strain and vice-versa. The dependence of ZnO morphology and SHG intensity on Ce-dopant concentration in ZnO has potential for applications in bio-imaging and bio-sensing.