Cesium lead halide (CsPbX3, X = Cl, Br, and I) perovskite nanocrystals (NCs) exhibit efficient anti‐Stokes photoluminescence (ASPL) upon sub‐gap single‐photon excitation, which has great potential for all‐solid‐state laser cooling. However, the mechanism responsible for the ASPL still remains elusive. Here, ASPL properties of CsPb(BrI)3 NCs and CsPbI3 NCs in inorganic solid matrix are investigated. Excitation wavelength‐ and power‐dependent ASPL demonstrates that it is a phonon‐assisted single‐photon process. Femtosecond transient absorption spectra show that ASPL is mediated by the Urbach tail states, where localized excitons are generated upon sub‐gap excitation. Through electron–phonon coupling, these localized excitons change into free exciton to generate the exciton bleaching, and then thermally dissociate into free carriers accompanied by band edge bleaching, leading to the efficient ASPL. Such a two‐step up‐conversion process is further confirmed by the carrier temperature extracted from the band edge bleaching band. This work deepens the understanding of ASPL in CsPbX3 NCs, and is valuable for the development of materials for solid‐state laser cooling.