Musculoskeletal disorders are a significant burden on the global economy and public health. Hydrogels have significant potential for enhancing the repair of damaged and injured musculoskeletal tissues as cell or drug delivery systems. Hydrogels have unique physicochemical properties which make them promising platforms for controlling cell functions. Gelatin methacryloyl (GelMA) hydrogel in particular has been extensively investigated as a promising biomaterial due to its tuneable and beneficial properties and has been widely used in different biomedical applications. In this review, a detailed overview of GelMA synthesis, hydrogel design and applications in regenerative medicine is provided. After summarising recent progress in hydrogels more broadly, we highlight recent advances of GelMA hydrogels in the emerging fields of musculoskeletal drug delivery, involving therapeutic drugs (e.g., growth factors, antimicrobial molecules, immunomodulatory drugs and cells), delivery approaches (e.g., single-, dual-release system), and material design (e.g., addition of organic or inorganic materials, 3D printing). The review concludes with future perspectives and associated challenges for developing local drug delivery for musculoskeletal applications.