Random lasers (RLs) based on neodymium ions (Nd(3+)) doped crystalline powders rely on multiple light scattering to sustain laser oscillation. Although Stokes and anti-Stokes Nd(3+) RLs have been demonstrated, the optical gain obtained up to now was possibly not large enough to produce self-frequency conversion. Here we demonstrate self-frequency upconversion from Nd(3+) doped YAl3(BO3)4 monocrystals excited at 806 nm, in resonance with the Nd(3+) transition (4)I9/2 → (4)F5/2. Besides the observation of the RL emission at 1062 nm, self-converted second-harmonic at 531 nm, and self-sum-frequency generated emission at 459 nm due to the RL and the excitation laser at 806 nm, are reported. Additionally, second-harmonic of the excitation laser at 403 nm was generated. These results exemplify the first multi-wavelength source of radiation owing to nonlinear optical effect in a Nd(3+) doped crystalline powder RL. Contrary to the RLs based on dyes, this multi-wavelength light source can be used in photonic devices due to the large durability of the gain medium.