Cs2AgBiBr6 double perovskite nanocrystals (NCs) are materials within the halide perovskite family with promising application potential, owing to their nontoxicity and excellent stability. Herein, Cs2AgBiBr6 NCs were synthesized and their photo-physical properties were investigated in detail. The temperature-dependent photoluminescence (PL) test confirms that their PL mechanism is dependent on the competition between the PL originating from carrier recombination in the conduction band and that in the self-trapping states. Their carrier recombination constants (involving the monomolecular, bimolecular, and Auger recombination rate constants) were obtained from transient absorption data and indicated that the monomolecular recombination decreases with the lowering of temperature, while the bimolecular and Auger recombination show opposite trends. The nonlinear optical properties were studied based on the Z-scan technique, with a two-photon absorption cross section of approximately 1906 GM. Our results suggest that Cs2AgBiBr6 NCs can be extensively applied in the field of optoelectronics, and conventional electronic switches will benefit from the excellent carrier dynamics and nonlinear optical properties.