Systems at the nanoscale can exhibit distinctive and unexpected properties in electrical, magnetic, mechanical, and chemical aspects. Understanding these properties not only is of importance from the fundamental scientific view but also offers great opportunities for future applications. Theoretical calculations can provide important information to interpret, modify, and predict the novel properties of objects at the nanoscale and therefore play a significant role in the process of exploring the nano world. In this review, six different areas are briefly presented, namely, prediction of new stable structures, modification of properties (especially the electronic structures), design of novel devices for applications, the structures and catalytic effects of clusters, the mechanical and transport properties of gold nanowires, and improvement of materials for hydrogen storage. Based on these examples, we show what can be done and what can be found in the investigations of nanoscale systems with participation of theoretical calculations.