The luminescent properties of a family of lanthanide metal–organic frameworks LnL (Ln=Y, La–Yb, except Pm; L=4,4′‐({2‐(4‐carboxyphenoxy)methyl‐2‐methylpropane‐1,3‐diyl}bis{oxy})dibenzoic acid) have been explored, and the energy‐transfer process in the compounds has been carefully analyzed. The visible‐emitting Tb0.08Gd0.92L and the near‐infrared (NIR)‐luminescent Yb0.10Gd0.90L show excellent optical performances and can be considered as fluorescent probes for acetone sensing based on luminescence quenching effects arising from host–guest interactions. Moreover, GdL exhibits a strong second harmonic generation (SHG) signal 6.1 times that of potassium dihydrogen phosphate (KDP) and an outstanding phase‐matchable effect. These lanthanide compounds combining fluorescent and nonlinear optical (NLO) properties could meet further requirements as multifunctional materials. Lighting up time: A family of LnMOFs has been developed (see figure), the members of which show luminescence from the visible to the near‐infrared region. Detailed luminescence studies have revealed a potential application for Tb0.08Gd0.92L and Yb0.10Gd0.90L as new fluorescent probes for acetone sensing.