Lanthanide doped core–multishell structured NaGdF4:Yb,Er@NaYF4:Yb@NaGdF4:Yb,Nd@NaYF4@NaGdF4:Yb,Tm@NaYF4 nanoparticles with power‐density independent orthogonal excitations‐emissions upconversion luminescence (UCL) were fabricated for the first time. The optical properties of these core–multishell structured nanoparticles were related to the absorption filtration effect of the NaGdF4:Yb,Tm layer. By tuning the thickness of the filtration layer, the nanoparticles can exhibit unique two independent groups of UCL: Tm3+ prominent UV/blue (UV=ultraviolet) UCL under the excitation at 980 nm and Er3+ prominent green/red UCL under the excitation at 796 nm. The filtration‐shell mediated orthogonal excitations‐emissions UCL are power‐density independent. As a proof of concept, the core–multishell nanoparticles are used in multi‐dimensional security design and imaging‐guided combined photodynamic therapy and chemotherapy.