Second-harmonic generation (SHG), a second-order nonlinear optical technique, was used to investigate the molecular ordering of self-assembled layer-by-layer films of PAH, a cationic polyelectrolyte, and PS-119, an anionic polyelectrolyte containing photoisomerizable azo groups. Possible phase transitions in these multilayer films and their thermal stability were investigated by probing the SHG signal as a function of temperature and comparing the molecular order before and after thermal treatment. These studies were also performed with different pH values for the assembling solutions, a relevant parameter for polyelectrolyte adsorption. The results have shown that the films are not thermally stable, with the SHG signal nearly vanishing at a temperature of 150°C, in contrast to what is reported in the literature. SHG measurements have also confirmed that the films are isotropic in the plane of the samples, independent of their number of layers or the pH of assembling solutions. SHG signal before and after heating indicates that the SHG signal was considerably reduced at high temperatures, but after slow cooling it was recovered to almost the same value as before heating, showing that the thermal disorder is reversible. No phase transition was observed, since the SHG signal reduction was slow and gradual, without any sudden change that would characterize a glass transition. We demonstrate that the SHG technique provides information on the film arrangement at the microscopic level which could be difficult to get with traditional techniques.