Anti-Stokes shift luminescence is a special optical process, which converts long-wavelength excitation to short-wavelength emission. This unique ability is especially helpful for bio-applications, because the longer-wavelength light source, usually referring to near infrared light, has a larger penetration depth offering a longer working distance for in vivo applications. The anti-Stokes shift luminescence signal can also be distinguished from the auto-fluorescence of biological tissues, thus reducing background interference during bioimaging. Herein, we summarize recent advances in anti-Stokes shift luminescent materials, including lanthanide and triplet-triplet-annihilation-based upconversion nanomaterials, and newly improved hot-band absorption-based luminescent materials. We focus on the synthetic strategies, optical optimization and biological applications as well as present comparative discussions on the luminescence mechanisms and characteristics of these three types of luminescent materials.