Nagyágite is a naturally occurring layered van der Waals heterostructure composed of alternating layers of [Pb(Pb,Sb)S2] and [(Au,Te)], where the component lattices are commensurately modulated. The weak van der Waals stacking between the heterolayers facilitates mechanical exfoliation. Due to its monoclinic crystal structure, nagyágite exhibits structural anisotropy which induces strong optical anisotropy. Here, the anisotropic optical properties of ultrathin nagyágite flakes mechanically exfoliated from a natural mineral are demonstrated through angle-resolved polarized Raman scattering, linear dichroism, and polarization-dependent anisotropic third-harmonic generation. The study establishes nagyágite as a new type of natural van der Waals heterostructure based 2D material, which can be exploited for realizing ultrathin anisotropic optical devices for future on-chip photonic integrated circuits.