The design and formation of van der Waals (vdW) heterostructures with different two-dimensional (2D) materials provide an opportunity to create materials with extraordinary physical properties tailored toward specific applications. Mechanical exfoliation of natural vdW materials has been recognized as an effective way for producing high-quality ultrathin vdW heterostructures. Abramovite is one of such naturally occurring vdW materials, where the superlattice is composed of alternating Pb2BiS3 and SnInS4 2D material lattices. The forced commensuration between the two incommensurate constituent 2D material lattices induces in-plane structural anisotropy in the formed vdW heterostructure of abramovite, even though the individual 2D material lattices are isotropic in nature. Here, we show that ultrathin layers of vdW heterostructures of abramovite can be achieved by mechanical exfoliation of the natural mineral. Furthermore, the structural anisotropy induced highly anisotropic vibrational and optical responses of abramovite thin flakes are demonstrated by angle-resolved polarized Raman scattering, linear dichroism, and polarization-dependent third-harmonic generation. Our results not only establish abramovite as a promising natural vdW material with tailored linear and nonlinear optical properties for building future anisotropic integrated photonic devices, but also provide a deeper understanding of the origin of structural, vibrational and optical anisotropy in vdW heterostructures.