The development of lipid-based delivery systems has attracted much attention over the last years and a wide variety of strategies and formulations are currently available to encapsulate, protect, and target delivery of bioactive and functional lipophilic constituents within the food and pharmaceutical industries. Waxes are crystalline lipid material, consisting of a complex mixture of long-chain fatty acids and fatty alcohols, hydrocarbons, aldehydes, and ketones and show great promises as constituents of carrier systems. Most of waxes are classified under food-grade category and show high availability at a low cost. This review article has provided a comprehensive summary of research on major carriers containing wax as one of the main constituents, including solid lipid nanoparticles, nanostructured lipid carriers, oleogels, and Pickering emulsions, with a focus on their food applications. The physical and chemical nature of natural waxes are described in the first while the second part deals with the structure, formulation, main methods of preparation, characterization, and finally utilization of each type of wax-based delivery system for specific food applications.