In this paper, CaGa2S4:3%Nd,5%Yb; CaGa2S4:5%Yb; CaGa2S4:3%Nd compounds were synthesized, and their photoluminescence (PL) spectra, PL excitation (PLE) spectra and PL decay properties were studied at room temperature under one-photon and multi-photon excitation in a wide range of excitation intensities. The synthesis of the CaGa2S4 compound was carried out by a solid-phase reaction of a stoichiometric mixture of CaS and Ga2S3 powders in a quartz ampoule. Yb and Nd doping was carried out during the synthesis process using YbF3 and NdF3. PLE spectra were studied in the wavelength range from 250 to 850 nm, and PL spectra in the range of 400–1500 nm. It has been shown that after introducing Yb3+ ions into thiogallate crystals with Nd3+ ions, a new band near 488 nm is formed and the PL intensity increases by 1–2 orders of magnitude. The anti-Stokes PL spectra of CaGa2S4: Nd, Yb crystals in the visible region of the spectrum (400–700 nm) were studied when excited by continuous wave laser radiation with a wavelength of 975 nm. The kinetics of PL decay of all types of compounds at different wavelengths of single- and multi-photon excitation were determined. Depending on the PLE conditions, wavelength and intensity of the exciting radiation, monoexponential and non-monoexponential decay kinetics were observed with decay times in the range of 20–90 μs. Possible mechanisms of PLE and PL of CaGa2S4 crystals doped with neodymium and ytterbium ions are discussed.