Second‐harmonic generation (SHG) of green lasers generated in KTiOAsO4 (KTA) cladding waveguides fabricated by femtosecond laser direct writing (FsLDW) is reported. The minimum propagation loss of the fabricated waveguides is determined to be 2.39 ± 0.24 dB cm−1 at 1064 nm. The SHG performance is characterized by utilizing a 1064 nm pulsed laser. The maximum SHG conversion efficiency reaches 13.67%. This work suggests potential applications of KTA crystals and FsLDW technology in definition of compact waveguide devices for integrated nonlinear optics.