ZnO nano- and microstructures co-doped with Eu and Li with different nominal concentrations of Li were grown using a solid vapor method. Different morphologies were obtained depending on the initial Li content in the precursors, varying from hexagonal rods which grow on the pellet when no Li is added to ribbons to sword-like structures growing onto the alumina boat as the Li amount increases. The changes in the energy of the crystallographic planes leading to variations in the growth directions were responsible for these morphological differences, as Electron Backscattered Diffraction analysis shows. The crystalline quality of the structures was investigated by X-ray diffraction and Raman spectroscopy, showing that all the structures grow in the ZnO wurtzite phase. The luminescence properties were also studied by means of both Cathodoluminescence (CL) and Photoluminescence (PL). Although the typical ZnO luminescence bands centered at 3.2 and 2.4 eV could be observed in all cases, variations in their relative intensity and small shifts in the peak position were found in the different samples. Furthermore, emissions related to intrashell transitions of Eu3+ ion were clearly visible. The good characteristics of the luminescent emissions and the high refraction index open the door to the fabrication of optical resonant cavities that allow the integration in optoelectronic devices. To study the optical cavity behavior of the grown structures, µ-PL investigations were performed. We demonstrated that the structures not only act as waveguides but also that Fabry–Perot optical resonant modes are established inside. Quality factors around 1000 in the UV region were obtained, which indicates the possibility of using these structures in photonics applications.