Lanthanide-doped upconversion nanoparticles (UCNPs) have attracted considerable interest due to their superior physicochemical features, such as large anti-Stokes shifts, low autofluorescence background, low toxicity and high penetration depth, which make them extremely suitable for use as alternatives to conventional downshifting luminescence bioprobes like organic dyes and quantum dots for various biological applications. A fundamental understanding of the photophysics of lanthanide-doped UCNPs is of vital importance for discovering novel optical properties and exploring their new applications. In this review, we focus on the most recent advances in the development of lanthanide-doped UCNPs as potential luminescent nano-bioprobes by means of our customized lanthanide photophysics measurement platforms specially designed for upconversion luminescence, which covers from their fundamental photophysics to bioapplications, including electronic structures (energy levels and local site symmetry of emitters), excited-state dynamics, optical property designing, and their promising applications for in vitro biodetection of tumor markers. Some future prospects and efforts towards this rapidly growing field are also envisioned.