Lead halide perovskite nanocrystals (NCs) have recently drawn considerable attention in the fields of materials science and nanotechnology. However, a major drawback of these NCs is the reliance on toxic lead, which hinders widespread application. Herein, a new class of lead‐free perovskite NCs, that is, lanthanide double perovskite (Ln‐DP) NCs, with f‐orbital‐induced optical properties, is introduced. The Pr‐, Ce‐, Tb‐, Eu‐, Sm‐, and Yb‐based Ln‐DP NCs display narrow d→f and f→f emissions ranging from the UV‐C to the near‐infrared spectral region. Experimental data and calculations reveal that the emissive Ln‐DP NCs exhibit small molecule‐like electronic absorptions: f→d atomic transitions or ligand‐to‐metal charge transfer transitions. Last, it is demonstrated that by alloying Ln compositions in the DP NCs, new materials with unique and improved optical properties can be obtained. These Ln‐DP NCs are promising for optical sensing and lighting, and as components in optoelectronic and/or magneto‐fluorescent devices.