Core/shell nanostructure is versatile for improving or integrating diverse functions, yet it is still limited to homeomorphism with isomorphic core and shell structure. Here, we delineate a selective cation exchange strategy to construct lanthanide core/shell nanoparticles with dissimilar structure. Hexagonal NaLnF4, a typical photon conversion material, was selected to grow cubic CaF2 shell to protect surface exposed Ln3+. Preferential cation exchange between Ca2+ and Na+ triggered the surface hexagonal-to-cubic structure evolution, which remediated the large barrier for heteroepitaxy of monocrystalline CaF2 shell. The heterostructured CaF2 shell leads to greatly enhanced upconversion emission with increased absolute quantum yield from 0.2% to 3.7%. Moreover, it is advantageous in suppressing the interfacial diffusion of Ln3+, as well as the leakage of Ln3+ from nanoparticle to aqueous system. These findings open up a new avenue for fabricating heterostructured core/shell nanoparticles, and are instructive for modulating various properties.