CdSe-PMMA nanocomposite has been synthesized by ex-situ technique. The effect of different Ag doping concentrations on its structural and optical properties has been studied. X-ray diffraction reveals the hexagonal wurtzite structure of the polymer nanocomposites with preferential growth of the nanocrystals along (100) direction. Transmission electron micrograph shows the spherical CdSe nanoparticles embedded in polymer matrix. The nonlinear refractive index of the nanocomposites has been calculated using Tichy & Ticha semi-empirical relations and Z-scan technique. Z-scan results disclose the two photon absorption process in the hybrid nanocomposites with self focussing behaviour. With Ag doping, the nonlinearity is found to be increased up to 0.2% Ag doping concentration due to the confined effect of Surface Plasmon, Quantum confinement and thermal lensing. Above 0.2% Ag concentration, its value decreases due to the declined linear refractive index of the nanocomposites. Maximum two photon figure of merit is 76 for 0.2% Ag doped CdSe-PMMA hybrid nanocomposite. The present results accentuate the possibility of tuning the optical non-linearity of CdSe-PMMA hybrid nanocomposite by adjusting the doping concentration.