Magnetic liquid marbles have recently attracted extensive attention for various potential applications. However, conventional liquid marbles based on iron oxide nanoparticles are opaque and inadequate for photo‐related applications. Herein, we report the first development of liquid marbles coated with magnetic lanthanide‐doped upconversion nanoparticles (UCNPs) that can convert near‐infrared light into visible light. Apart from their excellent magnetic and mechanical properties, which are attractive for repeatable tip opening and magnetically directed movements, the resultant UCNP‐based liquid marbles can act as ideal miniature reactors for photodynamic therapy of cancer cells. This work opens new ways for the development of liquid marbles, and shows great promise for liquid marbles based on UCNPs to be used in a large variety of potential applications, such as photodynamic therapy for accelerated drug screening, magnetically guided controlled drug delivery and release, and multifunctional actuation. All rolled into one: Liquid marbles based on magnetic upconversion nanoparticles (UCNPs) exhibit excellent magnetic and mechanical properties and were used for the conversion of low‐energy near‐infrared photons into high‐energy UV/Vis photons. They might find application in photodynamic therapy as well as for magnetically controlled drug delivery and release and multifunctional actuation.