Lanthanide-doped upconversion nanoparticles (UCNPs) have aroused extraordinary interest due to the unique physical and chemical properties. Combining UCNPs with other functional materials to construct nanocomposites and achieve synergistic effect abound recently, and the resulting nanocomposites have shown great potentials in various fields based on the specific design and components. This review presents a summary of diverse designs and synthesis strategies of UCNPs-based nanocomposites, including self-assembly, in-situ growth and epitaxial growth, as well as the emerging applications in bioimaging, cancer treatments, anti-counterfeiting, and photocatalytic fields. We then discuss the challenges, opportunities, and development tendency for developing UCNPs-based nanocomposites.