Multi-element two-dimensional (2D) materials hold great promise in the context of tailoring the physical and chemical properties of the materials via stoichiometric engineering. However, the rational and controllable synthesis of complex 2D materials remains a challenge. Herein, we demonstrate the preparation of large-area thin quaternary 2D material flakes via mechanical exfoliation from a naturally occurring bulk crystal named gillulyite. Furthermore, the anisotropic linear and nonlinear optical properties including anisotropic Raman scattering, linear dichroism, and anisotropic third-harmonic generation (THG) of the exfoliated gillulyite flakes are investigated. The observed highly anisotropic optical properties originate from the reduced in-plane crystal symmetry. Additionally, the third-order nonlinear susceptibility of gillulyite crystal is retrieved from the measured thickness-dependent THG emission. We anticipate that the demonstrated strong anisotropic linear and nonlinear optical responses of gillulyite crystal will facilitate the better understanding of light-matter interaction in quaternary 2D materials and its implications in technological innovations such as photodetectors, frequency modulators, nonlinear optical signal processors, and solar cell applications.