A novel strategy has been devised to synthesize directly GdF3:Tb3+,Sm3+@SiO2 belt-in-belt structured nanoribbons by uniaxial electrospinning technique and subsequent fluorination approach. GdF3:Tb3+,Sm3+@SiO2 belt-in-belt structured nanoribbons with sheathed ribbon structure have large specific surface area and unique void space structure between the inner and outer ribbons, which enables materials possess extraordinary applications in cancer therapy, drug delivery, sensors, catalysis, etc. The average widths of the inner and outer layers of the GdF3:Tb3+,Sm3+@SiO2 belt-in-belt structured nanoribbons are 1.60 ± 0.03 μm and 1.87 ± 0.02 μm, respectively. Furthermore, GdF3:1%Tb3+,x%Sm3+@SiO2 and GdF3:y%Tb3+,2%Sm3+@SiO2 belt-in-belt structured nanoribbons (x = 0.5, 1, 2, 3, 4, 5; y = 0.1, 0.3, 0.5, 0.7, 1, 2) have also been successfully constructed to observe energy transfer phenomenon and tunable changes in light color. Energy transfer from Tb3+ ions to Sm3+ ions has been proved according to the measured luminescence spectra of the samples. More importantly, Tb3+, Sm3+ co-doped GdF3@SiO2 belt-in-belt structured nanoribbons simultaneously exhibit multicolor luminescent and paramagnetic dual functional performances owing to the natural magnetic moment of Gd3+ ions, making materials have potential applications in flat-panel displays, lasers, biomarkers, and magnetic resonance imaging. In this work, a novel and high-efficient approach is presented to construct photoluminescence-magnetism dual functional GdF3:Tb3+,Sm3+@SiO2 belt-in-belt structured nanoribbons, providing theoretical basis and technical guidance for the simple construction of other nanomaterials with special structures.