Lanthanide-doped nanocrystals (NCs), which found applications in bioimaging and labeling, have recently demonstrated significant improvement in up-conversion efficiency. Here, we report the first up-conversion multicolor microcavity lasers by using NaYF4:Yb/Er@NaYF4 core-shell NCs as the gain medium. It is shown that the optical gain of the NCs, which arises from the 2- and 3-photon up-conversion processes, can be maximized via sequential pulses pumping. Amplified spontaneous emission is observed from a Fabry-Perot cavity containing the NCs dispersed in cyclohexane solution. By coating a drop of silica resin containing the NCs onto an optical fiber, a microcavity with a bottle-like geometry is fabricated. It is demonstrated that the microcavity supports lasing emission through the formation of whispering gallery modes.