The strong upconversion luminescence (UCL) of upconversion nanoparticles (UCNPs) endows the nanoparticles with attractive features for combined imaging and drug delivery. UCNPs convert near-infrared (NIR) light into light of shorter wavelengths such as light in the ultraviolet (UV) and visible regions, which can be used for light-guided drug delivery. Although light-responsive drug delivery systems as such have been known for many years, their application in medicine is limited, as strong UV-light can be damaging to tissue; moreover, UV light will not penetrate deeply into the skin, an issue that UCNPs can now address. However, UCNPs, as obtained after synthesis, are usually hydrophobic and require further surface functionalization to be stable in plasma. Polymers can serve as versatile surface coatings, as they can provide good colloidal stability, prevent the formation of a protein corona, provide a matrix for drugs, and be stimuli-responsive. In this Review, we provide a brief overview of the most recent progress in the synthesis of UCNPs with different shapes/sizes. We will then discuss the purpose of polymer coating for drug delivery before summarizing the strategies to coat UCNPs with various polymers. We will introduce the different polymers that have so far been used to coat UCNPs with the purpose to create a drug delivery system, focusing in detail on light-responsive polymers. To expand the application of UCNPs to allow photothermal therapy or magnetic resonance imaging (MRI) or to simply enhance the loading capacity of drugs, UCNPs were often combined with other materials to generate multifunctional nanoparticles such as carbon-based NPs and nanoMOFs. We then conclude with a discussion on drug loading and release and summarize the current knowledge on the toxicity of these polymer-coated UCNPs.