In recent years, lanthanide-containing upconversion nanoparticles (UCNPs) have aroused the extensive interest in bioimaging due to their unique upconversion fluorescent properties, such as the high tissue penetration depth, good biocompatibility, low auto-fluorescence, and high imaging sensitivity. In this work, we synthesize a series of NaYF₄:Yb, Tm@NaYF₄ core-shell structured nanoparticles with various shell thicknesses. A “hot injection” strategy is introduced to fabricate the core-shell UCNPs through using high boiling-point mixtures (sodium/rare-earth trifluoroacetates dissolved in oleic acid and octadecene at 150 °C) as shell precursor solutions. The as-synthesized UCNPs are characterized by transmission electron microscope, particle size analysis and fluorescence spectra. The experimental results show that the shell thickness of UCNPs can be well controlled within a range from 4.2 nm to 32.6 nm by simply tuning the added quantity of the shell precursors. Meanwhile, the upconversion luminescence intensity of NaYF₄:Yb, Tm@NaYF₄ shows tens times higher than that of NaYF₄:Yb, Tm owing to the effective suppression of surface quenching. The optimized thickness of the shell is determined to be 22.7 nm. An ultrathick inert shell (>22.7 nm) is not beneficial to upconversion luminescence mainly due to a strong scattering effect. In addition, the in vitro upconversion luminescent bioimaging application is demonstrated by using the as-synthesized core-shell structured UCNPs. Typically, the prepared OA capped UCNPs are dispersed in HCl solution to obtain hydrophilic ones, followed by polyethylene glycol (PEG) modification to improve their biological compatibility. The hydrophilic NaYF₄:Yb, Tm@NaYF₄@PEG nanostructures (denoted as UCNP@PEG) show a good biocompatibility with HeLa cells, as the viability of HeLa cells do not decrease obviously when the concentration of UCNP@PEG increases to 0.2 mg/mL. Then, we evaluate the upconversion luminescent signals of UCNP@PEG in HeLa cells under the excitation of 980 nm laser. An obviously increasing upconversion luminescent signal can be observed in HeLa cells with the incubation time increasing from 0.5 h to 6.0 h, indicating that the UCNP@PEG can be used as an excellent luminescence probe for cell imaging and monitoring the cell endocytosis process. All in all, we offer an efficient “hot injection” strategy of fabricating the core-shell structured UCNPs with various shell thickness for improving the upconversion efficiency of UCNPs, which will pave the way for new bioimaging and medical applications.