Cholesterol is known for its role in maintaining the correct fluidity and rigidity of the animals cell membranes and thus their functions. Assessing the content and the role of cholesterol in lipid bilayers is therefore of crucial importance for a deeper understanding and control of membrane functioning. In this computational work, we investigate bilayers built from three types of glycerophospholipid phosphatidylcholine (PC) lipids, namely dipalmitoylphosphatidylcholine (DPPC), 1-palmitoyl-2-oleoyl-snglycero-3-phosphocholine (POPC), and dioleoylphosphatidylcholine (DOPC), and containing different amounts of cholesterol by analyzing the second-harmonic generation (SHG) nonlinear optical (NLO) response of a probe molecule, di-8-ANEPPS, inserted into the membranes. This molecular property presents the advantage to be specific to interfacial regions such as lipid bilayers. To unravel these effects, Molecular Dynamics (MD) simulations have been performed on both DPPC and DOPC lipids by varying the cholesterol mole fraction (from 0 to 0.66), while POPC was only considered as a pure bilayer. In the case of the structural properties of the bilayers, all the analyses converge toward the same conclusion: as the mole fraction of cholesterol increases, the systems become more rigid, confirming the condensing effect of cholesterol. In addition, the chromophore is progressively more aligned with respect to the normal to the bilayer. On the contrary, addition of unsaturation disorders the lipid bilayers, with barely no impact on the alignment of the chromophore. Then, using the frames obtained from the MD simulations, the first hyperpolarizability β of the dye in its environment has been computed at the TDDFT level. On the one hand, the addition of cholesterol induces a progressive increase of the diagonal component the β tensor parallel to the bilayer normal. On the other hand, larger β values have been calculated for the unsaturated than for the saturated lipid systems. In summary, this study illustrates the relationship between the composition and structure of the bilayers and the NLO responses of the embedded dye.