Understanding the structural characteristics and growth mechanism(s) are essential for generating core–shell nano-heterostructures with distinctive properties. Especially in lanthanide-based nanocrystals, rational design of the core–shell composition can be utilized to enhance/tune the optical properties of the final nanostructure, or can be used to integrate multiple functional applications (e.g., luminescent/magnetic). In this article, we review the progress in our current understanding of the epitaxial shell growth in sodium lanthanide fluoride (NaLnF₄) nanocrystals. In order to understand epitaxial shell growth the core nanocrystals have to be uniform, and to date the synthesis of high quality near uniform size/shape dispersion controlled synthesis of lanthanide-based nanocrystals has been achieved mainly with this class of nanocrystals. The progress in core–shell synthesis and the epitaxial shell growth mechanism in this class of nanocrystals (NaLnF₄) are reviewed, and a general perspective is provided on the core–shell morphology based on different characterization techniques. While there has been tremendous progress in studying the impact of core–shell structures in various functional applications, this review also highlights, in our view, the still limited understanding of ways to control the core–shell morphology and it emphasizes some important, unanswered questions that remain to be addressed to maximize their performance.