Oxygen quantification using luminescence has attracted considerable attention in various fields, including environmental monitoring and clinical analysis. Among the reported luminophores, trivalent lanthanide complexes have displayed characteristic narrow emission bands with high brightness. This bright emission is based on photo‐sensitized energy transfer via organic triplet states. The organic triplet states in lanthanide complexes effectively react with the triplet oxygen, enabling oxygen quantification by lanthanide luminescence. Some TbIII and EuIII complexes with slow deactivation processes have also formed the excited state equilibrium, thus resulting in the emission‐lifetime based oxygen sensing property. The combination of TbIII/EuIII emission, EuIII/SmIII emission, EuIII/ligand phosphorescence, and ligand fluorescence/ligand phosphorescence provide the ratiometric oxygen‐sensing properties. Moreover, the reaction generates singlet oxygen species which exhibit numerous applications in the photo‐medical field. The ligands with large π‐conjugated aromatic systems, such as porphyrin, phthalocyanine, and polyaromatic compounds, induces highly efficient oxygen generation. The combination of effective luminescence with singlet‐oxygen generation by the lanthanide complexes render them suitable for photo‐driven theranostics. This review summarizes the research progress of lanthanide complexes with efficient oxygen‐sensing and singlet‐oxygen generation properties.