Doping of foreign atoms may substantially alter the properties of the host materials, in particular low-dimension materials, leading to many potential functional applications. Here, we perform density functional theory calculations of two-dimensional InSe materials with substitutional doping of lanthanide atoms (Ce, Nd, Eu, Tm) and investigate systematically their structural, magnetic, electronic and optical properties. The calculated formation energy shows that the substitutional doping of these lanthanide atoms is feasible in the InSe monolayer, and such doping is more favorable under Se-rich than In-rich conditions. As for the structure, doping of lanthanide atoms induces visible outward movement of the lanthanide atom and its surrounding Se atoms. The calculated total magnetic moments are 0.973, 2.948, 7.528 and 1.945 μB for the Ce-, Nd-, Eu-, and Tm-doped systems, respectively, which are mainly derived from lanthanide atoms. Further band structure calculations reveal that the Ce-doped InSe monolayer has n-type conductivity, while the Nd-doped InSe monolayer has p-type conductivity. The Eu- and Tm-doped systems are found to be diluted magnetic semiconductors. The calculated optical response of absorption in the four doping cases shows redshift to lower energy within the infrared range compared with the host InSe monolayer. These findings suggest that doping of lanthanide atoms may open up a new way of manipulating functionalities of InSe materials for low-dimension optoelectronics and spintronics applications.