All‐inorganic perovskite nanocrystals have attracted much attention in recent years due to their long stability, spectral tunability, suitable bandgap, long carrier diffusion length and high photoluminescence quantum yield (PLQY). Their excellent optical properties and stability make them suitable candidates for optoelectronic devices. In this review, we first provide an up‐to‐date review on the synthesis of all‐inorganic NCs, such as hot‐injection, room‐temperature, ultrasonication, solvothermal, fast microwave‐assisted and amine‐free methods. In addition, recent research progress of optoelectronic applications in light emitting diodes and solar cells is presented. Finally, we show the new challenges and give suggestions to make a broad range of applications in the near future.