The films of polymethyl methacrylate (PMMA) doped three different azo compounds are prepared by using spin coating method. Their thicknesses, indices of refractive and UV-Vis spectra are measured. The second harmonic generation (SHG) densities are detected by real-time corona poling method. For the azobenzene molecules with different substituents, the stronger the ability of pushing (pulling) electron is, the bigger the value of SHG is. The effective frequency-doubling coefficients of the three systems are 0.748, 0.794, and 4.420 pm/V respectively. The results show that because the ability of pushing (pulling) electron is different, the first-order hyperpolarizability is different, which determines whether the molecule is poled easily or not.