This paper presents an investigation of self-focusing of Gaussian laser beam in collisional plasma and its effect on second harmonic generation. Due to non-uniform heating, collisional non-linearity arises, which leads to redistribution of carriers and hence affects the plasma wave, which in turn affects the second harmonic generation. Effect of the intensity of the laser beam/plasma density on the harmonic yield is studied in detail. We have set up the non-linear differential equations for the beam width parameters of the main beam, plasma wave, second harmonic generation and second harmonic yield by taking full non-linear part of the dielectric constant of collisional plasma with the help of moment theory approach. It is predicted from the analysis that harmonic yield increases/decreases due to increase in the plasma density/intensity of the laser beam respectively.