In this study, multi-wavelength second-harmonic generation (SHG) based on self-phase modulation (SPM) broadband supercontinuum (SC) was observed by employing a double-clad high nonlinear optical fiber (HNLF) in conjunction with a femtosecond laser. At a wavelength of 1050 nm and an average pump power of 320 mW, multiple phase-matching conditions were achieved, and SH signals of central wavelengths ∼530.7 nm, ∼525.1 nm, ∼503.5 nm, and ∼478.7 nm were observed, with SHG efficiency reaching ∼1.34 × 10−4. The SHG in this experiment can be attributed to the utilization of a doped optical fiber, where dopants create defect states, facilitating optical–chemical transformation and enhancing second-order polarization susceptibility. Additionally, theoretical simulations were conducted, aligning closely with the experimental findings. To the best of our knowledge, this work marks the first demonstration of multi-wavelength SHG in optical fibers. It offers a distinctive avenue for customizing multi-wavelength ultrafast light sources, exhibiting great application potential in the fields of medical diagnostics and optical sensing.