Lanthanide fluoride nanoparticles were synthesized in aqueous media using procedures intended for a core–shell structure of Ln⁽¹⁾F₃–Ln⁽²⁾F₃, its reverse architecture, and an alloy structure. Their structures were examined by variable photon energy photo-electron spectroscopy using synchrotron radiation, along with X-ray powder diffractometry, transmission electron microscopy, energy dispersive X-ray spectroscopy, and luminescence spectroscopy. The results show that the nanoparticles intended for a core–shell structure do not have a core–shell structure, and that nanoparticles intended for an alloy structure do not always have an alloy structure. A possible explanation for this is cation exchange, a phenomenon that occurs when LnF₃ nanoparticles are exposed to another Ln³⁺ ion in aqueous media, resulting in Ln³⁺ ions in nanoparticles being quickly replaced by Ln³⁺ ions in solution. This cation exchange effectively competes with the precipitation of LnF₃, which leads to a concentration gradient in the case of the combination of LaF₃ and GdF₃, and to nearly an alloy structure (isotropic mixture of all the ions) in the case of the combination of LaF₃ and NdF₃, regardless of the procedure used. Finally, the intended “core–shell” nanoparticles were doped with Eu³⁺ to show that a non-core–shell structure can also give rise to the improvement of optical properties as compared with the corresponding core nanoparticles. These results suggest that conclusions in the literature that a core–shell structure was obtained as inferred by TEM or enhanced luminescence may not be correct.