In this paper, selective optical feedback is used to investigate the nonlinearity behaviours of a vertical cavity surface emitting laser (VCSEL) with the modulation signal. A single mode VCSEL with both parallel and orthogonal optical feedback (OF) signals modulated at 1 MHz frequency over a range of modulation depth is investigated. We also investigate the nonlinear characteristics of the orthogonal polarization modes XP and YP of the VCSEL by changing the injection current and temperature. The results show an enhancement in the harmonic distortions (HDs) of both XP and YP modes with parallel OF, and the total suppression of HDs with orthogonal OF. We show that for the VCSEL with orthogonal OF, the second and third harmonic components of the XP and YP modes decrease and reach the noise floor level of the output power spectrum. Additionally, peaks of second and third harmonic components change radically when varying the bias current and temperature. The results reveal that orthogonal OF can be employed as a new tool to improve the linear dynamic range and to control the nonlinear characteristics of the VCSEL, thus making these devices a promising optical source in present and future optical communication applications.