In this work, different lanthanides (Tm³⁺, Er³⁺; Yb³⁺, Ho³⁺, Nd³⁺) were doped into NaYF₄ via a high-temperature coprecipitation method, and followed by SiO₂ coating to improve the water dispersibility, resulting in NaYF₄:Tm³⁺, Er³⁺@NaYF₄@SiO₂ and NaYF₄:Yb³⁺, Ho³⁺@NaYF₄:Nd³⁺@SiO₂ nanoparticles (NPs). The two NPs both exhibited the temperature-dependent second near-infrared (NIR-II) downshifting luminescence over the physiological range. The luminescence ratio of Tm³⁺ emission at 1460 nm to Er³⁺ emission at 1525 nm (Tm³⁺:³H₄ → ³F₄; Er³⁺:⁴I_13/2 → ⁴I_13/2) varies with temperature increase, as well as Yb³⁺ emission at 980 nm and Ho³⁺ emission at 1150 nm (Yb³⁺:²F_5/2 → ²F_7/2; Ho³⁺:⁵I₆ → ⁵I₈). The highest relative sensitivity of NaYF₄:Tm³⁺, Er³⁺@NaYF₄@SiO₂ and NaYF₄:Yb³⁺, Ho³⁺@NaYF₄:Nd³⁺@SiO₂ aqueous suspension is 0.36% K⁻¹ (at 298 K) and 0.76% K⁻¹ (at 343 K), respectively. The biological tests prove the good biocompatibility and low toxicity of the water-soluble NPs. In vitro tissue penetration experiments verify a much better penetration ability of the synthesized NaYF₄:Tm³⁺, Er³⁺@NaYF₄@SiO₂ compared with NaYF₄:Yb³⁺, Ho³⁺@NaYF₄:Nd³⁺@SiO₂ NPs. The excellent physiological luminescent thermometry with favor wave penetration depth provides a promising platform in deep tissue temperature measurement, which is very important in vivo biosensing.