The field of theranostics has sprung up to achieve personalized medicine. The theranostics fuses diagnostic and therapeutic functions, empowering early diagnosis, targeted drug delivery, and real-time monitoring of treatment effect into one step. One particularly attractive class of nanomaterials for theranostic application is lanthanide-doped hollow nanomaterials (LDHNs). Because of the existence of lanthanide ions, LDHNs show outstanding fluorescent and paramagnetic properties, enabling them to be used as multimodal bioimaging agents. Synchronously, the huge interior cavities of LDHNs are able to be applied as efficacious tools for storage and delivery of therapeutic agents. The LDHNs can be divided into two types based on difference of component: single-phase lanthanide-doped hollow nanomaterials and lanthanide-doped hollow nanocomposites. We describe the synthesis of first kind of nanomaterials by use of hard template, soft template, template-free, and self-sacrificing template method. For lanthanide-doped hollow nanocomposites, we divide the preparation strategies into three kinds (one-step, two-step, and multistep method) according to the synthetic procedures. Furthermore, we also illustrate the potential bioapplications of these LDHNs, including biodetection, imaging (fluorescent imaging and magnetic resonance imaging), drug/gene delivery, and other therapeutic applications.