Polymer particles with internal nanostructures for versatile applications in many fields have attracted widespread attention. Among the diverse synthetic strategies toward polymer particles, polymer assembly in solution or melt is one of the most powerful methods to fabricate various hierarchically nanostructured materials in different length scales. In the review, we summarized the recent advances of several significant synthetic strategies of polymer particles with unique internal structures: (1) the principle of solvent exchange-induced either self-organized or scalable flash nanoprecipitation, (2) emulsion-solvent evaporation by engineering the interfacial interaction between the emulsion droplet and medium, (3) template-assisted method, and (4) polymerization-induced assembly method. In each part, we systematically describe key factors such as interfacial relationship, solvent properties, and chemical nature of polymer that dictate the formation and evolution of their morphology. Finally, we discussed remaining issues of nanostructured polymer assemblies and their potential for future applications.