We report on the experimental realization and a systematic study of optical frequency comb generation in doubly resonant intracavity second harmonic generation (SHG). The efficiency of intracavity nonlinear processes usually benefits from the increasing number of resonating fields. Yet, achieving the simultaneous resonance of different fields may be technically complicated, all the more when a phase matching condition must be fulfilled as well. In our cavity we can separately control the resonance condition for the fundamental and its second harmonic, by simultaneously acting on an intracavity dispersive element and on a piezo-mounted cavity mirror, without affecting the quasi-phase matching condition. In addition, by finely adjusting the laser-to-cavity detuning, we are able to observe steady comb emission across the whole resonance profile, revealing the multiplicity of comb structures, and the substantial role of thermal effects on their dynamics. Lastly, we report the results of numerical simulations of comb dynamics, which include photothermal effects, finding a good agreement with the experimental observations. Our system provides a framework for exploring the richness of comb dynamics in doubly resonant SHG systems, assisting the design of chip-scale quadratic comb generators.