The groundbreaking development of lanthanide-doped core–shell nanostructures have successfully achieved precise optical tuning of rare-earth nanocrystals, leading to significant improvements in energy transfer efficiency and facilitating multifunctional integration. Exploring the atomic-level structural, physical, and optical properties of rare-earth core–shell nanocrystals is essential for advancing our understanding of their fundamental principles and driving the development of emerging applications. However, our knowledge of the atomic-level structural details of rare-earth nanocrystal core–shell structures remains limited. This review provides a comprehensive discussion of synthesis strategies, characterization techniques, interfacial ion-mixing phenomena, strain effects, and spectral modulation in core–shell structures of rare-earth-doped nanocrystals. Additionally, we prospectively discuss the challenges encountered in studying the fine structures of rare-earth-doped core–shell nanocrystals, particularly the increasing demand for researchers to integrate interdisciplinary knowledge and utilize high-end precision instruments.