Transparent nano-glass-ceramics containing KYF4 nanocrystals were successfully obtained by the sol–gel method, doped with Eu3+ and co-doped with Yb3+ and Tm3+ ions. Precipitation of cubic KYF4 nanocrystals was confirmed by X-ray diffraction and high-resolution transmission electron microscope images. Excitation and emission spectra let us to discern between ions into KYF4 nanocrystals and those remaining in a glassy environment, supplemented with time-resolved photoluminescence decays, that also clearly reveal differences between local environments. Unusual high-energy up-conversion emissions in the UV range were obtained in Yb3+–Tm3+ co-doped samples, and involved mechanisms were discussed. The intensity of these high-energy emissions was analyzed as a function of Yb3+ concentration, heat treatment temperature of precursor sol–gel glasses and pump power, determining the optimum values for potential optical applications as highly efficient UV up-conversion materials in UV solid-state lasers.