Photothermal lanthanide nanomaterials with unique photophysical properties have been innovatively explored for diagnostics and non‐invasive therapies, and hold great promise for precision theranostics. In this review, we start from the basic principles of excited‐state dynamics and provide a thorough comprehension of the main pathways for photothermal conversion in lanthanide nanocrystals. Aspects influencing the photothermal effect such as lanthanide‐doping concentration, particle size, and crystal structure have been fully discussed. Hybrid strategies for the design of efficient lanthanide‐based photothermal agents, including dye sensitization to break the absorption limit and semiconductor combination to add cross‐relaxation pathways, have also been summarized. Furthermore, we highlight the cutting‐edge applications of photothermal lanthanide nanoplatforms with optical diagnosis and temperature feedback in photothermia‐associated theranostics. Lastly, the current challenges and future efforts for clinical applications are proposed. This review is expected to offer a better understanding of photothermal mechanisms and inspire efforts for designing versatile lanthanide theranostic nanoplatforms.