Optical channel waveguides with depressed cladding configurations have been produced in Nd,Gd:CaF2 laser crystals by using ultrafast laser inscription. Waveguide properties are investigated in terms of guiding behaviors and localized laser-induced lattice damages. Under an optical pump of 808 nm light, continuous-wave waveguide lasing at 1.06 μm is achieved, with a single-mode operation and a minimum lasing threshold of 98.8 mW. Furthermore, the visible emissions of Nd3+ with short wavelengths ranging from 415 nm to 550 nm and long wavelengths from 550 nm to 625 nm are observed upon 808 nm laser excitation via the up-converted process. The intensity ratios of two wavelength ranges are proved to be tunable through changing the pumping polarizations.