In situ observation system of second harmonic generation (SHG) during vacuum deposition has been constructed. It allows us to observe SHG from transmitted and reflected directions. The advantages of the system is summarized in the following two points: (1) Detailed dependence of SHG on film-thickness can be easily obtained. (2) The measurement can be achieved without exposing films to the atmosphere. This system was applied to vacuum evaporated films of copper phthalocyanine (CuPc) to clarify the origin of SH activity in such a centrosymmetric molecule. We suggest the importance of quadrupolar contribution on the basis of the thickness dependence of SHG and the comparison with the theoretical analysis.