Photon avalanche upconversion (PAU) is an interesting luminescent phenomenon featuring a large burst of light intensity when the excitation laser power is over the threshold. The early observation of PAU emissions was limited to bulk materials due to the stringent conditions required for the positive feedback of the photon avalanche. However, recent works showed that some lanthanide-based nanoparticles are capable of supporting photon avalanche for upconversion under room temperature, showing great promise in laser, biological imaging, and other emerging nanophotonic applications. In this review, we attempt to provide an overview of recent advances in photon avalanching upconversion nanoparticles. We first present a discussion on the concept of PAU, the guidelines for photon avalanche in nanoparticles, and typical examples. Next, the frontier applications of photon avalanching nanoparticles in super-resolution imaging, nanothermometer, upconversion lasers, optical patterning, and all-optical data processing are highlighted. Future challenges and opportunities in this field are also commented. We hope that this review will provide fundamental understandings and basic guidelines for the design of a class of efficient photon avalanching nanoparticles and further promote their applications in the near future.