The synthesis (by a facile two‐step sol–gel process), characterization, and application in controlled drug release is reported for monodisperse core–shell‐structured Fe₃O₄@nSiO₂@mSiO₂@NaYF₄: Yb³⁺, Er³⁺/Tm³⁺ nanocomposites with mesoporous, up‐conversion luminescent, and magnetic properties. The nanocomposites show typical ordered mesoporous characteristics and a monodisperse spherical morphology with narrow size distribution (around 80 nm). In addition, they exhibit high magnetization (38.0 emu g⁻¹, thus it is possible for drug targeting under a foreign magnetic field) and unique up‐conversion emission (green for Yb³⁺/Er³⁺ and blue for Yb³⁺/Tm³⁺) under 980 nm laser excitation even after loading with drug molecules. Drug release tests suggest that the multifunctional nanocomposites have a controlled drug release property. Interestingly, the up‐conversion emission intensity of the multifunctional carrier increases with the released amount of model drug, thus allowing the release process to be monitored and tracked by the change of photoluminescence intensity. This composite can act as a multifunctional drug carrier system, which can realize the targeting and monitoring of drugs simultaneously.