In this paper, we studied nonlinear absorption of infrared (IR) (1250 nm) femtosecond pulses and visible photoluminescence (PL) excited by them in liquid-crystal (LC) polymer films with embedded CdSe/ZnS core-shell type quantum dots (QDs). The dependence of nonlinear transmission on incident intensity indicated three-photon absorption in the films, with the three-photon absorption coefficient for the QD-LC polymer composite comparable with the one for bulk CdSe. The spectrum of PL excited by IR pulses coincides with one-photon excited PL spectrum. Dependence of the PL signal on the IR laser radiation power is cubic with further saturation for the spectral region from 2.10 to 2.25 eV, with saturation intensity decreasing with lower PL photon energy. The presence of the second-harmonic signal in the up-conversion spectrum results in its variation with an excitation power increase.