Lanthanide-doped upconversion nanoparticles enable anti-Stokes emission via nonlinear processes, where low-energy excitation photons in the near-infrared window can be upconverted into high-energy emission ones in the visible or ultraviolet regions. The past decade has seen great success in the high-quality synthesis of upconversion nanoparticles with controlled structure, crystalline phase, size, and shape. The unique capacity of upconversion nanocrystals to undertake near-infrared excitation, amalgamated with their excellent luminescent characteristics, such as massive anti-Stokes spectral shift, sharp emission band, multicolor emission, and long luminescence lifetime, makes these nanomaterials prime candidates for a plethora of applications. Herein, we review the field of upconversion nanoparticles from the perspectives of fundamental luminescence mechanisms, new synthetic routes, and current practical approaches to tuning emission color and enhancing upconversion efficiency. In particular, we highlight the recent advances in utilizing upconversion nanocrystals for bioimaging, therapy, biosensing, neuroscience, super-resolution imaging, photoswitching, and lasing applications. We also discuss the key challenges and issues that are critical for the further implementation of upconversion nanoparticles in diverse settings.