Ultra-small luminescent nanoparticles (NPs) are quite desirable for optoelectronic and biomedical applications. However, it is still a challenge to synthesize ultra-small NPs with high brightness owing to non-radiative energy losses caused by the surface defects as well as from vibrational deactivation ascribed to solvent molecules and ligands absorbed on the NPs. In this paper, we reported a strategy to improve up- and down-conversion luminescence of ultra-small BaLuF:Yb,Er NPs by using multi-layer active-shells (containing Yb). Sub-10 nm BaLuF:Yb,Erat(X-shell, X = 1-5)BaLuF:Yb NPs were synthesized via a high boiling solvent process through a layer-by-layer strategy. Up- and down-conversion fluorescence spectra of the NPs were recorded and analyzed by using a 980 nm laser diode as the excitation source. In comparison with optical properties of BaLuF:Yb,Er NPs, the intensities of up- (∼545 nm) and down-conversion (∼1530 nm) fluorescence were enhanced by 52 and 9.8 times after coating 5-layer active-shells (BaLuF:Yb) on the BaLuF:Yb,Er NPs, respectively. In addition, the intensities of up- and down-conversion fluorescence of the BaLuF:Yb,Er NPs with multi-layer active-shells were 1.3 and 1.1 times larger than those of the BaLuF:Yb,Er NPs with a one thick-layer active shell, respectively. These results showed that multi-layer active-shells could be used to not only suppress surface quenching but also transfer the pump light to the core region efficiently through Yb ions inside the active-shells.