In recent years, Photon Avalanche (PA) on the nanometre scale has emerged as a groundbreaking phenomenon, enabling the generation of high-energy photons with minimal pumping power due to its highly nonlinear optical dynamics. This review focuses on the advancement in photon-avalanching nanoparticles (ANPs), composed of lanthanide ion-doped inorganic matrices, which exhibit remarkable optical nonlinear response under low-power excitation. The objective of this article is to provide a comprehensive overview of the PA mechanism in nanoscale materials, with a specific focus on single-ANP systems. Key factors influencing the PA characteristics, such as excitation-power threshold, excited-state absorption, cross-relaxation process, dopant ion concentration, and temperature sensitivity are summarized. Furthermore, the review situates recent ANP research within the broader context of early studies on the PA mechanism observed in bulk crystals and optical fibers, highlighting the distinctive features and applications of ANPs. Notable applications discussed include single-particle and biological super-resolution imaging, deep-tissue imaging, luminescence thermometry, ANP-based lasers, optical data storage, and information security. The paper also addresses current challenges and limitations of ANPs in practical applications, proposing potential solutions and future research directions to facilitate their integration into real-world environments. This review aims to serve as a valuable resource for researchers seeking to advance the understanding and application of ANPs in various scientific and technological domains.