Lanthanide Metal–Organic Frameworks (LnMOFs), in recent years, have developed into an interesting subclass of MOFs. While the number of published papers, in particular, were dedicated to their synthesis and functional properties, along with the application mechanisms of MOFs, only a few of them have been focused on LnMOFs thin films independently. LnMOFs have become interesting thanks to their outstanding properties, for example, excellent structural flexibility, tunable pore size, surface area, functionality, and good chemical stability. Significant progress over the past two decades in the preparation of MOF films has been achieved, especially towards the development of green, or at least greener, synthesis approaches. We begin with insight into various types of MOFs and summarize recent achievements in the production of LnMOF films, along with various film preparation approaches. Afterward, we briefly discuss the applications of luminescence features of lanthanide ions in films and their potential as white-light source materials. We also covered films based on Eu, Tb, and Gd with particular accents on different design approaches. Moreover, specifically, luminescent features applied for sensing temperature, a variety of ions, gases, and biomolecules are highlighted. The review ends with a comprehensive conclusion about the state-of-art-potential of LnMOFs together with an outlook on the future of LnMOF films in future technologies.