Understanding the mechanical behaviour of nanostructures is of great importance due to their applications in nanodevices such as in nanomechanical resonators, nanoscale mass sensors, electromechanical nanoactuators and nanogenerators. Due to the difficulties of performing accurate experimental measurements at nanoscales and the high computational costs associated with the molecular dynamics simulations, the continuum modelling of nanostructures has attracted a considerable amount of attention. Since size influences have a crucial role in the mechanics of structures at nanoscale levels, classical continuum-based theories have been modified to incorporate these effects. Among various modified continuum-based theories, the nonlocal elasticity and the nonlocal strain gradient elasticity have been employed to estimate the mechanical behaviour of nanostructures. In this review paper, first these two modified elasticity theories are briefly explained. Then, the nonlocal motion equations for different nanostructures including nanorods, nanorings, nanobeams, nanoplates and nanoshells are derived. Several papers which reported on the size-dependent mechanical behaviour of nanostructures using modified continuum models are reviewed. Furthermore, important results reported on the vibration, bending and buckling of nanostructures as well as the results of size-dependent wave propagation analyses are discussed.