In the present work, the Europium doped Zinc Oxide (ZnO: Eu) thin films were elaborated using spray pyrolysis technique. We are interested in investigating the structural properties, photoluminescence (PL) and third harmonic generation (THG) of the elaborated films. The structural properties of as-prepared thin films were characterized by X-ray diffraction (XRD). It confirms that all deposited thin films of Europium doped Zinc Oxide are crystallized in the hexagonal wurtzite structure. Both undoped and doped europium thin films show strong preferred c-axis orientation. Photoluminescence (PL) emission from Europium doped Zinc Oxide thin films, under excitation by 266 nm, shows characteristic transitions of Europium (5 D0 ! 7 F0, 5 D0 ! 7 F1, 5 D0 ! 7 F2, etc.). It reveals the good incorporation of Eu3+ ions in the ZnO host. Additionally, the 5 D0 ! 7 F2 is the most intense transition usually observed for Eu3+ embedded in materials of Zinc Oxide lattice. The dependence of third-order nonlinear susceptibility on doping rate was evaluated. The highest nonlinear susceptibility x3 is obtained for the 5% Europium doped ZnO sample.