Low‐dimensional Cu(I)‐based metal halide materials are gaining attention due to their low toxicity, high stability and unique luminescence mechanism, which is mediated by self‐trapped excitons (STEs). Among them, Cs5Cu3Cl6I2, which emits blue light, is a promising candidate for applications as a next‐generation blue‐emitting material. In this article, an optimized colloidal process to synthesize uniform Cs5Cu3Cl6I2 nanocrystals (NCs) with a superior quantum yield (QY) is proposed. In addition, precise control of the synthesis parameters, enabling anisotropic growth and emission wavelength shifting is demonstrated. The synthesized Cs5Cu3Cl6I2 NCs have an excellent photoluminescence (PL) retention rate, even at high temperature, and exhibit high stability over multiple heating–cooling cycles under ambient conditions. Moreover, under 850‐nm femtosecond laser irradiation, the NCs exhibit three‐photon absorption (3PA)‐induced PL, highlighting the possibility of utilizing their nonlinear optical properties. Such thermally stable and highly luminescent Cs5Cu3Cl6I2 NCs with nonlinear optical properties overcome the limitations of conventional blue‐emitting nanomaterials. These findings provide insights into the mechanism of the colloidal synthesis of Cs5Cu3Cl6I2 NCs and a foundation for further research.