KLaF₄, as a good host matrix for trivalent lanthanide (Ln³⁺) ions to fabricate upconversion (UC) or downconversion (DC) phosphors, has been rarely reported. Herein, monodisperse (10 nm) cubic-phase Ln³⁺-doped KLaF₄ nanocrystals (NCs) were synthesized via a facile thermal decomposition method. Upon excitation at 980 nm, UC luminescence properties of KLaF₄:Ln³⁺/Yb³⁺ (Ln = Tm, Ho, Er) NCs were comprehensively surveyed. Particularly, after coating an inert KLaF₄ shell, the green and red UC luminescence intensity of KLaF₄:Er³⁺/Yb³⁺ NCs was enhanced 35 times, and the corresponding UC lifetimes of ⁴S_3/2 and ⁴F_9/2 levels of Er³⁺ were observed significantly prolonged from 42 and 68 μs in core-only NCs to 87 and 136 μs in core/shell counterparts. Furthermore, intense DC luminescence was also achieved in Ce³⁺/Tb³⁺ and Eu³⁺ doped KLaF₄ NCs, with absolute quantum yields of 39.8% (Tb³⁺) and 17.3% (Eu³⁺). The luminescence lifetimes of ⁵D₀ (Eu³⁺) and ⁵D₄ (Tb³⁺) were determined to be 4.2 and 4.7 ms, respectively. Water-soluble Ln³⁺-doped KLaF₄ NCs featuring excellent monodispersion, long luminescence lifetime, and high UC/DC efficiency may have versatile and promising applications as luminescent nano-biolabels.