Heterostructure nanoparticles (NPs), constructed by two single‐component NPs with distinct nature and multifunctional properties, have attracted intensive interest in the past few years. Among them, heterostructures made of upconversion NPs (UCNPs) and metal–organic frameworks (MOFs) can not only integrate the advantageous characteristics (e.g., porosity, structural regularity) of MOFs with unique upconverted optical features of UCNPs, but also induce cooperative properties not observed either for single component due to their special optical or electronic communications. Recently, diverse UCNP‐MOF heterostructures are designed and synthesized via different strategies and have demonstrated appealing potential for applications in biosensing and imaging, drug delivery, and photodynamic therapy (PDT). In this review, the synthesis strategies of UCNP‐MOF heterostructures are first summarized, then the authors focus mainly on discussion of their biomedical applications, particularly as PDT agents for cancer treatment. Finally, the authors briefly outlook the current challenges and future perspectives of UCNP‐MOF hybrid nanocomposites. The authors believe that this review will provide comprehensive understanding and inspirations toward recent advances of UCNP‐MOF heterostructures.