Lanthanide-doped nanoparticles (LnNPs) show unique optical properties and have been demonstrated in various applications, including imaging, optogenetics, photothermal therapy, photodynamic therapy, light-controlled release/cross-linking, anticounterfeiting, lasing, sensing, and super-resolution microscopy. One of the key and urgent limitations of LnNPs is the weak and narrow absorption of lanthanides. Fabrication of heterostructures will overcome this hurdle and enhance the performance of LnNPs. Developing novel heterostructures to enhance the absorption of lanthanides and studying the energy transfer pathways and efficiencies are of broad interest to the chemical and physical research community. There is currently no systematic review to summarize different types of LnNP heterostructures. Thus, this review will summarize five types of heterostructures combining LnNPs with organic and inorganic dyes, plasmonics, semiconducting quantum dots, and metal–organic frameworks. The enhancement of absorption and the improvement of light conversion performance are compared and discussed. This review also discusses the energy transfer pathways and efficiencies between LnNPs and other components and provides suggestions to form heterostructures with enhanced absorption and efficient energy transfer for future applications. We hope this review will further inspire active development and study of lanthanide-based heterostructures with stronger absorption, better light conversion performance, and ease of multifunctionality.