The effect of geometrical anisotropy is numerically investigated on the linear and nonlinear optical properties of a GaAs quantum dot which is located at the center of a Ga1-xAlxAs cylindrical nano-wire. The finite difference approximation has been used for obtaining energy eigenvalues and corresponding wave functions. Also, the compact density matrix formalism is applied to investigate linear, third order nonlinear and total optical absorption coefficients (ACs) and refractive index (RI) changes. The optical properties and oscillator strength are calculated as a function of the incident photon energy for different ellipsoid aspect ratio, dot radius and incident optical intensity for 1–2, 2–3 and 1–3 transitions. The results clearly reveal that the dot anisotropy plays an important role in determining the magnitude of nonlinear AC and RI changes which enable us to adjust saturation condition. We found that the dot anisotropy shifts absorption spectrum towards both lower and higher energies which depend on the shape of dot (spherical, prolate or oblate quantum dot), dot radius and states between which transitions will occur. Additionally, it is shown that the presence of nano-wire (second confinement) causes (I) a large increment in RI changes (II) a decrement in total AC for prolate QDs with respect to the dot radius (III) an increment in third order AC with respect to the ellipsoid aspect ratio and (IV) a blue shift in optical spectrum.