Lanthanide sesquioxides are strongly correlated materials characterized by highly localized unpaired electrons in the f band. Theoretical descriptions based on standard density functional theory (DFT) formulations are known to be unable to correctly describe their peculiar electronic and magnetic features. In this study, electronic and magnetic properties of the first four lanthanide sesquioxides in the series are characterized through a reliable description of spin localization as ensured by hybrid functionals of the DFT, which include a fraction of nonlocal Fock exchange. Because of the high localization of the f electrons, multiple metastable electronic configurations are possible for their ground state depending on the specific partial occupation of the f orbitals: the most stable configuration is here found and characterized for all systems. Magnetic ordering is explicitly investigated, and the higher stability of an antiferromagnetic configuration with respect to the ferromagnetic one is predicted. The critical role of the fraction of exchange on the description of their electronic properties (notably, on spin localization and on the electronic band gap) is addressed. In particular, a recently proposed theoretical approach based on a self-consistent definition—through the material dielectric response—of the optimal fraction of exchange in hybrid functionals is applied to these strongly correlated materials.