Two new diamond-like (DL) chalcogenides, Li2MgGeSe4 and Li2MgSnSe4, have been successfully synthesized using a conventional high-temperature solid-state method. The two compounds crystallize in the non-centrosymmetric space group Pmn21 with a = 8.402 (14) Å, b = 7.181 (12) Å, c = 6.728 (11) Å, Z = 2 for Li2MgSnSe4, and a = 8.2961 (7) Å, b = 7.0069 (5) Å, c = 6.6116 (6) Å, Z = 2 for Li2MgGeSe4. The calculated results show that the second harmonic generation (SHG) coefficients of Li2MgSnSe4 (d33 = 12.19 pm/v) and Li2MgGeSe4 (d33 = −14.77 pm/v), mainly deriving from the [MSe4] (M = Ge, Sn) tetrahedral units, are close to the one in the benchmark AgGaS2 (d14 = 13.7 pm/V). The calculated band gaps for Li2MgSnSe4 and Li2MgGeSe4 are 2.42 and 2.44 eV, respectively. Moreover, the two compounds are the first series of alkali and alkaline-earth metal DL compounds in the I2-II-IV-VI4 family, enriching the structural diversity of DL compounds.