The investigation of third-order nonlinear optical (NLO) properties of coordination polymers (CPs) based on solid samples is very difficult but is crucial for practical applications. Herein, we show a method for preparing high optical quality CP films in a polymer matrix to study the third-order NLO performance of solid-state CPs. Two novel azobenzene-based CPs, [CdL(DMAc)(H2O)]n (1) and {[CuL(4,4'-azobpy)]·3H2O}n (2) (H2L = 5-((4-(phenyldiazenyl)phenoxy)methyl)isophthalic acid), were selected as study subjects. The corresponding microcrystals with a grain size of around 3 μm were doped into poly(vinyl alcohol) (PVA), forming CP films (1-MC/PVA and 2-MC/PVA). 1-MC/PVA and 2-MC/PVA exhibit NLO absorption switching behavior from saturable absorption (SA) to reverse saturable absorption (RSA) with increasing pulse energy. Moreover, their NLO properties can also be efficiently modulated by photostimulation energy due to the trans → cis isomerization of an azobenzene moiety. The density functional theory (DFT) results show that the narrower the band gap between the conduction band minimum and the valence band maximum, the denser the electron density distribution in the central mental and coordination atoms, which is beneficial to exhibit better third-order NLO performance. This work provides a feasible method for the wider practical application of solid materials with excellent third-order NLO performance.