The problem of multi-robot collaborative self-localization and distributed target tracking in practical scenarios is studied in this work. The major challenge in solving the problem in a distributed fashion is properly dealing with inter-robot and robot–target correlations in order to realize consistent state estimates of the local robots and the target simultaneously. In this paper, an unscented transformation-based collaborative self-localization and target tracking algorithm is proposed. Inter-robot correlations are approximated in a distributed fashion, and robot–target correlations are safely discarded with a conservative covariance intersection method. Furthermore, the state update is realized in an asynchronous manner with different kinds of measurements while accounting for measurement and communication limitations. Finally, to deal with nonlinearity in the processes and measurement models, the unscented transformation approach is adopted. Unscented transformation is better able to characterize nonlinearity than the extended Kalman filter-based method and does not require computation of the Jacobian matrix. Simulations are extensively studied to show that the proposed method can realize stable state estimates of both local robots and targets, and results show that it outperforms the EKF-based method. Moreover, the effectiveness of the proposed method is verified on experimental quadrotor platforms carrying off-the-shelf onboard sensors.