Multifunctional, mesoporous, silica‐coated upconversion luminescent/magnetic NaGdF₄:Yb/Er@NaGdF₄:Yb@mSiO₂PEG (referred to as UCNPS; PEG=polyethylene glycol) nanocomposites were fabricated through a phase‐transfer‐assisted surfactant‐templating coating process, followed by hydrophilic polymer (PEG) functionalization to improve the stability and biocompatibility. The UCNP core imparts the nanomaterials with luminescence and magnetic properties for simultaneous upconversion optical and magnetic resonance (MR) imaging, whereas the mesoporous shell affords the nanomaterials the ability to load the anticancer drug doxorubicin. Proof‐of‐principle in vitro and in vivo experiments are presented to demonstrate that the resultant composite nanomaterials can serve as nanotheranostics for synchronous upconversion luminescence/MR dual modal imaging and anticancer drug delivery; this finally realizes the integration of diagnostics and the treatment of cancers.