Conventional administration of drugs is limited by poor water solubility, low permeability, and mediocre targeting. Safe and effective delivery of drugs and therapeutic agents remains a challenge, especially for complex therapies, such as cancer treatment, pain management, heart failure medication, among several others. Thus, delivery systems designed to improve the pharmacokinetics of loaded molecules, and allowing controlled release and target specific delivery, have received considerable attention in recent years. The last two decades have seen a growing interest among scientists and the pharmaceutical industry in mesoporous silica nanoparticles (MSNs) as drug delivery systems (DDS). This interest is due to the unique physicochemical properties, including high loading capacity, excellent biocompatibility, and easy functionalization. In this review, we discuss the current state of the art related to the preparation of drug-loaded MSNs and their analysis, focusing on the newest advancements, and highlighting the advantages and disadvantages of different methods. Finally, we provide a concise outlook for the remaining challenges in the field.