All‐inorganic perovskite quantum dots (QDs) with high photoluminescence quantum yield, narrow spectral bandwidth, and broad spectral tunability have broad applications. However, perovskite QDs suffer from poor stability and the fast anion‐exchange reaction between different halide ions. Herein, we embedded green‐light‐emitting CsPbBr3 QDs and red‐light‐emitting CsPb(Br/I)3 QDs into carboxyl‐containing polymethyl methacrylate (PMMA) by the hot‐injection method. As a result, the as‐prepared perovskite@PMMA composites not only retain high luminescence but also exhibit good water resistance. Moreover, this treatment prevents anion exchange between different halide QD particles in the solid state. The applications in light‐emitting diodes and cellular labeling agents are also carried out to demonstrate their good stability.