Upconversion nanoparticles (UCNPs) with unique multi-photon excitation photoluminescence properties have recently been intensively explored as novel contrast agents for low-background biomedical imaging. In this work, we functionalize UCNPs with a polyethylene glycol (PEG) grafted amphiphilic polymer. The PEGylated UCNPs are loaded with a commonly used chemotherapy molecule, doxorubicin (DOX), by simple physical adsorption via a supramolecular chemistry approach for intracellular drug delivery. The loading and releasing of DOX from UCNPs are controlled by varying pH, with an increased drug dissociation rate in acidic environment, favorable for controlled drug release. Upconversion luminescence (UCL) imaging by a modified laser scanning confocal microscope reveals the time course of intracellular delivery of DOX by UCNPs. It is found that DOX is shuttled into cells by the UCNP nano carrier and released inside cells after endocytosis. By conjugating nanoparticles with folic acid, which targets folate receptors over expressed on various types of cancer cells, we further demonstrate targeted drug delivery and UCL cell imaging with UCNPs. Besides DOX, this non-covalent drug loading strategy can also be used for loading of photosensitizer molecules on UCNPs for potential near-infrared light induced photodynamic therapy. Our results suggest the promise of UCNPs as interesting nano carriers for multi-functional cancer therapy and imaging.