Upon illumination by ultraviolet light, many animal species emit light through fluorescence processes arising from fluorophores embedded within their biological tissues. Fluorescence studies in living organisms are however relatively scarce and so far limited to the linear regime. Multiphoton excitation fluorescence analyses as well as nonlinear optical techniques offer unique possibilities to investigate the effects of the local environment on the excited states of fluorophores. Herein, these techniques are applied for the first time to study of the naturally controlled fluorescence in insects. The case of the male Hoplia coerulea beetle is investigated because the scales covering the beetle’s elytra are known to possess an internal photonic structure with embedded fluorophores, which controls both the beetle’s coloration and the fluorescence emission. An intense two-photon excitation fluorescence signal is observed, the intensity of which changes upon contact with water. A third-harmonic generation signal is also detected, the intensity of which depends on the light polarization state. The analysis of these nonlinear optical and fluorescent responses unveils the multi-excited states character of the fluorophore molecules embedded in the beetle’s elytra. The role of form anisotropy in the photonic structure, which causes additional tailoring of the beetle’s optical responses, is demonstrated by circularly polarized light and nonlinear optical measurements.