With the rapid development of nanotechnology, the convergence of nanostructures and drug delivery has become a research hotspot in recent years. Due to their unique and superior properties, various nanostructures, especially those fabricated from self-assembly, are able to significantly increase the solubility of poorly soluble drugs, reduce cytotoxicity toward normal tissues, and improve therapeutic efficacy. Nanostructures have been successfully applied in the delivery of diverse drugs, such as small molecules, peptides, proteins, and nucleic acids. In this paper, the driving forces for the self-assembly of nanostructures are introduced. The strategies of drug delivery by nanostructures are briefly discussed. Furthermore, the emphasis is put on a variety of nanostructures fabricated from various building materials, mainly liposomes, polymers, ceramics, metal, peptides, nucleic acids, and even drugs themselves.