Microlaser with multiple lasing bands is critical in various applications, such as full-color display, optical communications, and computing. Here, we propose a simple and efficient method for homogeneously doping rare earth elements into a silica whispering-gallery microcavity. By this method, an Er-Yb co-doped silica microsphere cavity with the highest quality (Q) factor (exceeding 10⁸) among the rare-earth-doped microcavities is fabricated to demonstrate simultaneous and stable lasing covering ultraviolet, visible, and near-infrared bands under room temperature and a continuous-wave pump. The thresholds of all the lasing bands are estimated to be at the submilliwatt level, where both the ultraviolet and violet continuous wave upconversion lasing from rare earth elements has not been separately demonstrated under room temperature until this work. This ultrahigh-Q doped microcavity is an excellent platform for high-performance multiband microlasers, ultrahigh-precision sensors, optical memories, and cavity-enhanced light–matter interaction studies.