This is an experimental and theoretical study of thulium doped TiO₂ nanoparticles. From an experimental perspective, a method was used to synthesize thulium-doped TiO₂ nanoparticles in which Tm³⁺ replaces Ti⁴⁺ in the lattice, which to our knowledge has neither been reported nor studied theoretically so far. Different proportions of anatase and rutile phases were obtained at different annealing temperatures, and XRD and Raman spectroscopy also revealed the presence of a pyrochlore phase (Tm₂Ti₂O₇) at 1173 K. Thus, the structure of the Tm-doped nanoparticles was thermally-controlled. Furthermore, XPS showed the presence of Tm³⁺ in the samples synthesized, which produces oxygen vacancies to maintain the local neutrality in the lattice. The presence of Tm³⁺ in the samples led to changes in the UV-Vis absorption spectra, so they showed photoluminescence properties and new states in the band gap, which produce a new lower energy electronic transition than the main TiO₂ one. Periodic DFT calculations were performed to understand the experimentally produced structures. The production of oxygen vacancies was analysed and the changes generated in the structure were fully detailed. The DOS and PDOS analyses confirmed the experimental results obtained using UV-Vis spectroscopy, and showed that the new electronic states in the band gap are due to interactions of the f state of Tm and the p state of O. Likewise, the charge study and the ELF analysis indicate that when Tm is introduced into the TiO₂ structure, the Ti–O bond around the oxygen vacancy is strengthened. Finally, an example of a photocatalytic application was developed to show the high efficiency of the samples due to the heterojunction in the interfaces of the phases in the samples, which improved the charge separation and the good charge carrier mobility due to the presence of the pyrochlore phase, as was also shown theoretically.