The development of accurate drug delivery systems is one of the main challenges in the biomedical field. A huge variety of structures, such as vesicles, nanoparticles, and nanofibers, have been proposed as carriers for bioactive agents, aiming for precision in administration and dosage, safety, and bioavailability. This review covers the use of electrohydrodynamic techniques both for the immobilization and for the synthesis of vesicles in a non-conventional way. The state of the art discusses the most recent advances in this field as well as the advantages and limitations of electrospun and electrosprayed amphiphilic structures as precursor templates for the in situ vesicle self-assembly. Finally, the perspectives and challenges of combined strategies for the development of advanced structures for the delivery of bioactive agents are analyzed.