Proteases have a fundamental role in maintaining physiological homeostasis, but their dysregulation results in severe activity imbalance and pathological conditions, including cancer onset, progression, invasion, and metastasis. This striking importance plus superior biological recognition and catalytic performance of proteases, combining with the excellent physicochemical characteristics of nanomaterials, results in enzyme-activated nano-drug delivery systems (nanoDDS) that perform theranostic functions in highly specific response to the tumor phenotype stimulus. In the tutorial review, the key advances of protease-responsive nanoDDS in the specific diagnosis and targeted treatment for malignancies are emphatically classified according to the effector biomolecule types, on the premise of summarizing the structure and function of each protease. Subsequently, the incomplete matching and recognition between enzyme and substrate, structural design complexity, volume production, and toxicological issues related to the nanocomposites are highlighted to clarify the direction of efforts in nanotheranostics. This will facilitate the promotion of nanotechnology in the management of malignant tumors.