AbstractUpconversion luminescent‐magnetic [Y2O3:Yb3+, Er3+/polyacrylonitrile (PAN)]//[CoFe2O4/PAN] alloplastic nanofiber yarns (ANYs) are successfully prepared by a novel conjugative electrospinning. The ANYs consist of two different kinds of nanofibers, respectively called as [CoFe2O4/PAN] magnetic nanofibers and [Y2O3:Yb3+, Er3+/PAN] upconversion luminescent nanofibers, and the two kinds of nanofibers are combined together and twisted to form ANYs. Pumped by 980‐nm laser, the ANYs exhibit excellent upconversion luminescence (UCL) and orange‐red fluorescence. ANYs demonstrate tailored saturation magnetization by modulating CoFe2O4 nanoparticles (NPs) content. The influence mechanism of magnetic CoFe2O4 NPs on the UCL of ANYs is detailedly explored. The relationship between mechanical properties and twist for ANYs is explored through the tensile test. Compared with the counterpart coessential nanofiber yarns (CNYs), ANYs exhibit about 10 times stronger UCL intensity owing to the complete separation of the upconversion luminescent substance from the magnetic substance and thereby great reduction of impact of the magnetic substance on the upconversion luminescent substance. Thus, concurrent enhancive upconversion luminescence (UCL) and tunable magnetism of the ANYs are successfully achieved. The detailed formation mechanism of ANYs is advanced and a novel fabrication technique of yarns is established and can be popularized to prepare other bi‐ and multi‐functional nanofibrous yarns.