In this study, synthesis, structural, linear, and nonlinear optical properties of L‐valine capped Zn doped MgO nanoparticles (NPs) are reported. L‐valine capped (15 mol%) MgO NPs doped with Zn (1, 2, and 5 wt%) are obtained by chemical co‐precipitation method and are calcined at 500°C for 2 h. X‐ray diffraction (XRD) pattern shows major reflections at 2θ = 42.91°, 62.11°, and 78.34° corresponding to (200), (220), and (222) planes of MgO with a face‐centered cubic structure, respectively, and the average particle size is found to be 13 nm. Surface morphology is studied using HR‐TEM and energy dispersive X‐ray spectroscopy (EDS) attests the purity of prepared samples. Utraviolet‐visible (UV‐vis) spectroscopic studies of both uncalcined and calcined samples attest the formation of NPs and strong blue shift in the excitonic absorption has been observed. Samples have been characterized for third‐order nonlinear absorption using open aperture z‐scan technique under continuous wave (CW) He‐Ne laser and are found to exhibit strong nonlinear absorption coefficient due to thermal effect.