ZnS quantum dots (QDs) of different sizes are synthesized by a simple chemical co-precipitation method at room temperature, by varying pH value of the reaction mixture. Samples are characterized by an X-ray diffractometer, transmission electron microscope, energy-dispersive X-ray analysis, etc. Linear optical properties, including UV–visible absorption and photoluminescence emission characteristics, of as-prepared QDs are measured. Size dependent nonlinear optical property, such as second harmonic generation (SHG) of 1064 nm Nd:YAG laser fundamental radiation in the synthesized ZnS QDs, is reported for the first time, to the best of our knowledge, by using the standard Kurtz–Perry powder method. In order to study the possibility of the synthesized ZnS QDs in different device applications ZnS/PMMA (polymethylmethacrylate) nanocomposites are also synthesized. The presence of weak chemical interaction between the polymer matrix and ZnS QDs is confirmed by Fourier transform infrared spectroscopy. Thermal properties of the nanocomposites are studied by differential scanning calorimetry and thermo-gravimetric analysis techniques, which show that the composites are stable up to ~300 °C temperature.