Lanthanide-doped upconversion nanoparticles (UCNPs) have the ability to generate ultraviolet or visible emissions under continuous-wave near-infrared (NIR) excitation. Utilizing this special luminescence property, UCNPs are approved as a new generation of contrast agents in optical imaging with deep tissue-penetration ability and high signal-to-noise ratio. The integration of UCNPs with other functional moieties can endow them with highly enriched functionalities for imaging-guided cancer therapy, which makes composites based on UCNPs emerge as a new class of theranostic agents in biomedicine. Here, recent progress in combined cancer therapy using functional nanocomposites based on UCNPs is reviewed. Combined therapy referring to the co-delivery of two or more therapeutic agents or a combination of different treatments is becoming more popular in clinical treatment of cancer because it generates synergistic anti-cancer effects, reduces individual drug-related toxicity and suppresses multi-drug resistance through different mechanisms of action. Here, the recent advances of combined therapy contributed by UCNPs-based nanocomposites on two main branches are reviewed: i) photodynamic therapy and ii) chemotherapy, which are the two most widely adopted therapies of UCNPs-based composites. The future prospects and challenges in this emerging field will be also discussed.