Self-frequency conversion (SFC), where both laser oscillation and nonlinear frequency conversion occurs in the same laser crystal, has been used to efficiently extend the operational wavelength of lasers. Downsizing of the cavity mode volume (V) and increasing the quality factor (Q) could lead to a more efficient conversion process, mediated by enhanced n-th order nonlinearities that generally scale as (Q/V)(n). Here, we demonstrate nanocavity-based SFC by utilizing photonic crystal nanocavity quantum dot lasers. The high Q and small V supported in semiconductor-based nanocavities facilitate efficient SFC to generate visible light, even with only a few photons present in the laser cavity. The combined broadband quantum dot gain and small device footprint enables the monolithic integration of 26 different-color nanolasers (spanning 493-627 nm) within a micro-scale region. These nanolasers provide a new platform for studying few-photon nonlinear optics, and for realizing full-color lasers on a single semiconductor chip.