Recently, lanthanide nanoparticles have aroused widespread interest in cancer theranostics by virtue of their excellent photoresponsive performance in deep-seated tumors. The abundant ladder-like energy levels, controllable emission profiles, and unique photoluminescence properties make lanthanide nanoparticles highly efficient for deep skin-penetration of near-infrared (NIR) light, concentrating light energy in tumors with negligible scattering and minimal autofluorescence from biological tissues. High-Z radio-sensitization of lanthanide elements endows lanthanide nanoparticles with a high X-ray attenuation coefficient, making them effective nanoprobes for X-ray-excited bioimaging and synchronous radiotherapy-related treatments. In this review, comprehensive progressions including the synthesis, structural characteristics of lanthanide nanoparticles, and distinct optical excitation mechanisms with NIR and X-ray triggers, are summarized. Advances in NIR-excited and X-ray-triggered cancer imaging methods and therapies are described in detail, wherein NIR-induced luminescence from upconversion nanoparticles and downconversion nanoparticles are introduced separately based on some typical sensitization. Finally, the challenges and opportunities of lanthanide nanoparticles as light-triggered cancer theranostic candidates are discussed, whose translation from bench to bedside still has a long journey to go.