Recently, in vivo optical imaging in the second-near-infrared window (NIR-II, 1000-1700 nm) that allows high spatiotemporal resolution and imaging depth due to reduced photon scattering and weak auto-fluorescence has drawn more and more attention. Among various NIR-II optical probes, lanthanide-doped nanoparticles show several great advantages including abundant energy levels transitions for multi-emissions, ultra-stable emissions for long-term detection, and long luminescence lifetime for background-free imaging. These merits have inspired researchers to make great efforts to develop superior lanthanide-doped nanoparticles for in vivo bio-imaging and bio-sensing. In this review, NIR-II luminescent emissions and absorption spectra of several lanthanide ions are outlined, and the recent advances in designing NIR-II lanthanide-doped nanocrystals with optimized quantum yields are summarized. Then their significant concerns for in vivo imaging and sensing including assembly and disassembly, clearance, and responsiveness of lanthanide-based nanoparticles are discussed. Major challenges and future opportunities in the NIR-II bio-imaging using lanthanide nanocrystals are finally proposed to direct new solutions and interdisciplinary research.