As a new generation of fluorophores, up-conversion nanoparticles (UCNPs) exhibit high penetration depth in tissues, low photodamage to biological samples, large Stokes shifts, sharp emission bands, free auto-fluorescence background and high photostability, thus making them an ideal kind of fluorescent labels for a variety of assay formats ranging from bio-imaging to cancer therapy. In this article, the method for the synthesis of biocompatible UCNPs, the recent progress regarding the UCNPs for multimodal targeted tumor imaging, drug delivery, photodynamic therapy (PDT), and photothermal therapy (PTT) are discussed on emphasis. The challenges and opportunities in this emerging field are also presented.