Two-dimensional (2D) periodical Au and indium tin oxide (ITO) nanocomposite arrays have been fabricated based on a self-assembled nanosphere lithography technique. A button-shaped Au nanoparticle was formed on each hollow hemisphere-shaped ITO shell. Importantly, the underlying formation mechanism during the thermal treatment has been thoroughly explored by comparing structures resulting from different deposition conditions in detail. Compared to the Au nanoparticle arrays without ITO shells, the Au/ITO nanocomposite arrays showed a stronger localized surface plasmon resonance effect and higher absorption in the near-infrared (NIR) region, benefiting from the free-electron interaction enhancement between Au and ITO. The nonlinear optical properties were investigated using a modified femtosecond intensity-scan system, and the results demonstrated Au/ITO nanocomposite arrays with a remarkable two-photon absorption saturation effect for femtosecond pulses at 1030 nm. The versatile NIR optical responses indicate the great potential of the elaborately prepared 2D periodical Au/ITO nanocomposite arrays in many applications such as solar cells, photocatalysis, and novel nano optoelectronic devices.