This paper presents the laser beam filamentation at ultra relativistic laser powers, when the paraxial restriction on the beam is relaxed during the filamentation process. On account of laser beam intensity gradient and background density gradients in filamentary regions, the electron plasma wave (EPW) at pump wave frequency is generated. This EPW is found to be highly localized because of the laser beam filaments. The interaction of the incident laser beam with the EPW leads to the second harmonic generation. The second harmonic spectrum has also been studied in detail, and its correlation with the filamentation of the laser beam has been established. Starting almost with a monochromatic component of laser beam propagation, the second harmonic spectrum becomes more complicated, and broadened when the laser beam propagates further, and filamentation takes place. For the typical laser beam and plasma parameters: laser beam with wave length of 1064 nm, power flux of 1018 W/cm2, and plasma with temperature 1 KeV, we found that the conversion efficiency equals about (E2/E0) = 8 × 10−3, and the spectrum is quite broad, which depends upon the laser beam propagation distance. The results (specifically, the second harmonic spectral feature) presented here may be used for the diagnostics of laser produced plasmas.