In this review, the possibility of using pulsed, nanosecond laser heating of nanoparticles (NPs) is demonstrated, in order to investigate their thermo-physical properties. This approach is possible because the laser heating produces high NP temperatures that facilitate the observation of their thermal radiation (incandescence). This incandescence depends on the thermo-physical properties of the NPs, such as heat capacity, density, particle size, volume fraction and the refractive index of the particle material, as well as on the heat-mass transfer between the NPs and the surrounding gas media. Thus, the incandescence signal carries information about these properties, which can be extracted by signal analyses. This pulsed laser heating approach is referred to as laser-induced incandescence. Here, we apply this approach to investigate the properties of carbon, metal and carbon-encapsulated Fe NPs. In this review, the recent results of the measurements of the NP refractive index function, thermal energy accommodation coefficient of the NP surface with bath gas molecules and the NP evaporation temperature obtained using laser-induced incandescence are presented and discussed.