Nonlinear absorption of metal–halide perovskite nanocrystals (NCs) makes them an ideal candidate for applications which require multiphoton-excited photoluminescence. By doping perovskite NCs with lanthanides, their emission can be extended into the near-infrared (NIR) spectral region. We demonstrate how the combination of Yb3+ doping and bandgap engineering of cesium lead halide perovskite NCs performed by anion exchange (from Cl− to Br−) leads to efficient and tunable emitters that operate under two-photon excitation in the NIR spectral region. By optimizing the anion composition, Yb3+-doped CsPbClxBr3−x NCs exhibited high values of two-photon absorption cross-section reaching 2.3 × 105 GM, and displayed dual-band emission located both in the visible (407–493 nm) and NIR (985 nm). With a view of practical applications of bio-visualisation in the NIR spectral range, these NCs were embedded into silica microspheres which were further wrapped with amphiphilic polymer shells to ensure their water-compatibility. The resulting microspheres with embedded NCs could be easily dispersed in both toluene and water, while still exhibiting a dual-band emission in visible and NIR under both one- and two-photon excitation conditions.