Albumin is derived from plasma and it is the most abundant protein in plasma, which is an ideal material for the preparation of nanoparticles because of its good biocompatibility, noncytotoxicity, nonimmunogenicity, biodegradability, and so on. Besides, albumin can enhance the targeting of drugs, reduce the toxicity of free drugs, and enhance the water solubility of hydrophobic drugs, etc. Drug delivery systems based on albumin nanoparticles are widely used in the medical field. At present, the main methods of preparing albumin nanoparticles are desolvation, self-assembly, thermal gelation, spray-drying, double emulsification, emulsification, Nab-technology, pH coacervation, and so on. Due to the differences of principle and preparation conditions, these methods show different advantages and disadvantages. This review systematically summarizes the latest research progress of albumin nanoparticles about its methods of preparation in past five years, and it also introduces the latest applications in cancer therapy, existing difficulties. Thus, this review can fill the two gaps that few articles focus comprehensively on the application of albumin nanoparticles in tumor therapy and no article clearly points out the difficulties faced in current research of albumin nanoparticles.