In the last decades photocatalysis has become one of the most employed technologies for the implementation of the so-called Advanced Oxidation Processes (AOPs) for the removal of harmful pollutants from wastewaters. The materials identified as the best photocatalysts are transition metal oxides, in which the band structure allows charge carrier separation upon solar irradiation. The photoinduced charge carrier can thus cause oxidative and reductive redox reactions at the surface, inducing the formation of the radical species able to initiate the AOPs. Despite the great advantages of this process (non-toxic, cheap and environmentally clean), the main drawback lies in the fact that the most efficient semiconductors are only able to absorb UV irradiation, which accounts for only 5% of the total solar irradiation at the Earth’s surface and not enough to generate the required amount of electron-hole pairs. On the other hand, many efforts have been devoted to the sensitization of wide band gap transition metal oxides to visible light, which represents a higher percentage (almost 45%) in the solar electromagnetic spectrum. Among all the strategies to sensitize transition metal oxides to visible irradiation, doping with lanthanides has been less explored. In this regard, lanthanides offer a unique electronic configuration, consisting in 4f orbitals shielded by a 5s5p external shell. This occurrence, coupled with the different occupation of the localized 4f orbitals would provide an astounding opportunity to tune these materials’ properties. In this review we will focus in depth on the modification of two promising photocatalytic transition metal oxides, namely ZnO and ZrO2, with cerium, europium and erbium atoms. The aim of the work is to provide a comprehensive overview of the influence of lanthanides on the structural, optical and electronic properties of the modified materials, emphasizing the effect of the different 4f orbital occupation in the three considered doping atoms. Moreover, a large portion of the discussion will be devoted to the structural-properties relationships evidencing the improved light absorption working mechanism of each system and the resulting enhanced photocatalytic performance in the abatement of contaminants in aqueous environments.