The self-assembly propensities and nonlinear optical properties of synthetic dipeptides are illustrated. The single crystal X-ray diffraction study of dipeptide 1 containing a p-nitrophenylalanine moiety reveals that the peptide adopts a supramolecular antiparallel β-sheet structure using hydrogen bonding, as well as π–π stacking interactions, in the solid state and the peptide exhibits nonlocal thermal nonlinear refraction due to the thermal lensing effect. The heat dissipation in the dipeptide 1 was a slow process with a millisecond to microsecond time scale. However the peptide 2 containing a p-nitrophenylacetic acid moiety adopts a parallel β-sheet structure and has no thermal lensing effect.