Mesoporous materials are the natural micro-reactors for preparation of nanocomposites due to its ordered mesostructures and uniform pore channels. In recent years, through the process design to realize the highly efficient and homogeneous incorporation of guest species, researches on mesoporous-based nanocomposite films have attracted the increasing interests of materials scientists, chemists and physicists. In this review, recent advances on the preparation of mesoporous films and mesoporous-based nanocomposite films are firstly summarized, in which the special attentions are focused on new methodology application, such as template-displacement process, ion-exchange method and organosilane surface-modification protocol, for the incorporation of metal oxide, precious metal and semiconductor nanoparticles in the film matrix. Then, the enhanced non-linear optical (NLO) properties associated with mesoporous-based nanocomposite films are also discussed. More importantly, it is suggested that the possible positive effect of external fields, i.e. magnetic field and microgravity environment, during thermal post-treatment of the mesoporous-based nanocomposite films on their NLO responses.