In this work, we report the multifunctional character of neodymium-doped LaF₃ core/shell nanoparticles. Because of the spectral overlap of the neodymium emission bands with the transparency windows of human tissues, these nanoparticles emerge as relevant subtissue optical probes. For neodymium contents optimizing the luminescence brightness of Nd³⁺:LaF₃ nanoparticles, subtissue penetration depths of several millimeters have been demonstrated. At the same time, it has been found that the infrared emission bands of Nd³⁺:LaF₃ nanoparticles show a remarkable thermal sensitivity, so that they can be advantageously used as luminescent nanothermometers for subtissue thermal sensing. This possibility has been demonstrated in this work: Nd³⁺:LaF₃ nanoparticles have been used to provide optical control over subtissue temperature in a single-beam plasmonic-mediated heating experiment. In this experiment, gold nanorods are used as nanoheaters while thermal reading is performed by the Nd³⁺:LaF₃ nanoparticles. The possibility of a real single-beam-controlled subtissue hyperthermia process is, therefore, pointed out.