A Au-Ag-Au multi-segmental hybrid structure has been synthesized by using an electrodeposition method based on an anodic aluminum oxide (AAO) membrane. The third-order optical nonlinearities, second harmonic generation (SHG) and photoluminescence (PL) properties containing ultrafast supercontinuum generation and plasmon mediated thermal emission have been investigated. Significant optical enhancements have been obtained near surface plasmon resonance wavelength in all the abovementioned nonlinear processes. Comparative studies between the Au-Ag-Au multi-segmental hybrid structure and the corresponding single-component Au and Ag hybrid structures demonstrate that the Au-Ag-Au multi-segmental hybrid structure has much larger optical nonlinearities than its counterparts. These results demonstrate that the Au-Ag-Au hybrid structure is a promising candidate for applications in plasmonic devices and enhancement substrates.