The crystallization mechanism of sol–gel-derived NaYF₄:(Yb,Er) up-converting phosphors has been studied by differential scanning calorimetry analysis using both model-free and model fitting approaches. Structural and optical data have shown that the hexagonal NaYF₄:(Yb,Er) phase crystallization process occurs at around 315 °C as a result of the thermal decomposition of the metal trifluoroacetates. As the annealing temperature increases, sphere-like microcrystals of about 1–2 μm size (at 300 °C) break up into smaller ones (400–500 nm size) and finally collapse at higher temperatures (600 °C); the up-conversion luminescence signal intensity increases due to the crystallinity improvement and dehydration process. The crystallization process can be described as an autocatalytic-type reaction where the accompanying cubic NaYF₄ phase played a catalytic role by reducing the energy barrier against the crystallization of the hexagonal NaYF₄ phase, causing its fast self-accelerated crystallization. The energy resulting from the disintegration process of the initial NaYF₄ microcrystals contributed to the growth and agglomeration processes and finally the collapse of the crystalline fragments with increasing temperature.