Reflection second-harmonic generation from the polished waveguide end face is used to investigate the second-order nonlinear optical properties of as-exchanged and annealed proton-exchanged waveguides in z-cut LiTaO3. It is found that proton exchange results in a strongly reduced nonlinearity which, however, can be restored by thermal annealing. Selective etching is used as a method to further investigate the structural changes following proton exchange and annealing. A correlation is found between the etching properties and the nonlinear optical properties. The results are discussed and related to the hydrogen concentration profile using a linear diffusion model for the anneal process.