Nanocomposite films formed by Cu nanocrystals (NCs) embedded in an amorphous Al2O3 host have been produced by pulsed laser deposition (PLD). The role of the laser fluence and the pressure of the Ar buffer gas, in the 10(-6)-10(-1) Torr range, on both the structural and non-linear optical properties of the nanocomposite films have been studied. The analysis of the structural properties suggests that the nucleation and growth of the NCs occurs at the substrate, even if the deposition takes place in a low pressure of Ar. The non-linear optical response of the films is enhanced by increasing either the density or the anisotropy of the NCs.