The extraordinary long phosphorescence of SrAl2O4:Eu2+:Dy3+ has been widely studied in powder samples because of its broad range of applications in this form and despite the fact that the bulk material shows higher intensity emission and longer afterglow. However, the investigation of SrAl2O4:Eu2+:Dy3+ crystals that, unlike the powder, do not contain surface defects, would allow a better insight into the mechanism that governs the long-lasting phosphorescence of this co-doped material. Thus, a SrAl2O4:Eu2+:Dy3+ single crystal was studied in detail by absorption spectroscopy and photoluminescence, including a novel estimation of its extinction coefficient. In addition, thermoluminescence measurements and wavelength-dependent quantum efficiency measurements have been performed to improve the understanding of the role of both europium and dysprosium ions in the corresponding persistent phosphorescence mechanism.