Today, at the frontier of biomedical research, the need has been clearly established for integrating disease detection and therapeutic function in one single theranostic system. Light-emitting nanoparticles are being intensively investigated to fulfil this demand, by continuously developing nanoparticle systems simultaneously emitting in both the UV/visible (light-triggered release and activation of drugs) and the near-infrared (imaging and tracking) spectral regions. In this work, rare-earth (RE) doped nanoparticles (RENPs) were synthesized via a thermal decomposition process and spectroscopically investigated as potential candidates as all-in-one optical imaging, diagnostic and therapeutic agents. These core/shell/shell nanoparticles (NaGdF₄:Er³⁺,Ho³⁺,Yb³⁺/NaGdF₄:Nd³⁺,Yb³⁺/NaGdF₄) are optically excited by heating-free 806 nm light that, aside from minimizing the local thermal load, also allows to obtain a deeper sub-tissue penetration with respect to the still widely used 980 nm light. Moreover, these water-dispersed nanoplatforms offer interesting assets as triggers/probes for biomedical applications, by virtue of a plethora of emission bands (spanning the 380–1600 nm range). Our results pave the way to use these RENPs for UV/visible-triggered photodynamic therapy/drug release, while simultaneously tracking the nanoparticle biodistribution and monitoring their therapeutic action through the near-infrared signal that overlaps with biological transparency windows.