Chitosan is a cationic polysaccharide that is usually obtained by alkaline deacetylation of chitin poly(N-acetylglucosamine). It is biocompatible, biodegradable, mucoadhesive, and non-toxic. These excellent biological properties make chitosan a good candidate for a platform in developing drug delivery systems having improved biodistribution, increased specificity and sensitivity, and reduced pharmacological toxicity. In particular, chitosan nanoparticles are found to be appropriate for non-invasive routes of drug administration: oral, nasal, pulmonary and ocular routes. These applications are facilitated by the absorption-enhancing effect of chitosan. Many procedures for obtaining chitosan nanoparticles have been proposed. Particularly, the introduction of hydrophobic moieties into chitosan molecules by grafting to generate a hydrophobic-hydrophilic balance promoting self-assembly is a current and appealing approach. The grafting agent can be a hydrophobic moiety forming micelles that can entrap lipophilic drugs or it can be the drug itself. Another suitable way to generate self-assembled chitosan nanoparticles is through the formation of polyelectrolyte complexes with polyanions. This paper reviews the main approaches for preparing chitosan nanoparticles by self-assembly through both procedures, and illustrates the state of the art of their application in drug delivery.