The incorporation of oleic acid and oleylamine, acting as organic surfactant coatings for a novel solvothermal synthesis procedure, resulted in the formation of monoclinic KLu(WO4)2 nanocrystals. The formation of this crystalline phase was confirmed structurally from X-ray powder diffraction patterns and Raman vibrational modes, and thermally by differential thermal analysis. The transmission electron microscopy images confirm the nanodimensional size (~12 nm and ~16 nm for microwave-assisted and conventional autoclave solvothermal synthesis) of the particles and no agglomeration, contrary to the traditional modified sol-gel Pechini methodology. Upon doping with holmium (III) and thulium (III) lanthanide ions, these nanocrystals can generate simultaneously photoluminescence and heat, acting as nanothermometers and as photothermal agents in the third biological window, i.e., self-assessed photothermal agents, upon excitation with 808 nm near infrared, lying in the first biological window. The emissions of these nanocrystals, regardless of the solvothermal synthetic methodology applied to synthesize them, are located at 1.45 μm, 1.8 μm and 1.96 μm, attributed to the 3H4 ® 3F4 and 3F4 ® 3H6 electronic transition of Tm3+ and 5I7 ® 5I8 electronic transition of Ho3+, respectively. The self-assessing properties of these nanocrystals are studied as a function of their size and shape and compared to the ones prepared by the modified sol-gel Pechini methodology, revealing that the small nanocrystals obtained by the hydrothermal methods have the ability to generate heat more efficiently, but their capacity to sense temperature is not as good as that of the nanoparticles prepared by the modified sol-gel Pechnini method, revealing that the synthesis method influences the performance of these self-assessed photothermal agents. The self-assessing ability of these nanocrystals in the third biological window is proven via an ex-vivo experiment, achieving thermal knowledge and heat generation at a maximum penetration depth of 2 mm.