Supramolecular chemistry provides a tool for the formation of highly ordered structures by means of noncovalent interactions. Soft supramolecular nanoparticles are self-assembled nanoassemblies based on small building blocks and stabilized by basic noncovalent interactions, selective host-guest interactions, or a combination of different interaction types. This review provides an overview of the existing approaches for the formation of supramolecular nanoparticles by various types of noncovalent interactions, with a strong focus on host-guest-mediated assemblies. The approaches are ordered based on the nature of the stabilizing supramolecular interaction, while focusing on the aspects that determine the particle structure. Where applicable, the use of these self-assembled nanostructures as vectors in molecular diagnostics and therapeutics is described as well. The stable yet reversible nature of supramolecular interactions and their chemical flexibility offer great prospects for the development of highly engineered nanoparticles which are compatible with the complexity of living systems.