Many efforts have been made in the field of nanotechnology to improve the local and sustained release of drugs, which may be helpful to overcome the present limitations in the treatment of knee OA. Nano-/microparticles and/or hydrogels can be now engineered to improve the administration and intra-articular delivery of specific drugs, targeting molecular pathways and pathogenic mechanisms involved in OA progression and remission. In order to summarize the current state of this field, a systematic review of the literature was performed and 45 relevant studies were identified involving both animal models and humans. We found that polymeric nanoparticles loaded with anti-inflammatory drugs (i.e., dexamethasone or celecoxib) are the most frequently investigated drug delivery systems, followed by microparticles and hydrogels. In particular, the nanosystem most frequently used in preclinical research consists of PLGA-nanoparticles loaded with corticosteroids and non-steroidal anti-inflammatory drugs. Overall, improvement in histological features, reduction in joint inflammation, and improvement in clinical scores in patients were observed. The last advances in the field of nanotechnology could offer new opportunities to treat patients affected by knee OA, including those with previous meniscectomy. New smart drug delivery approaches, based on nanoparticles, microparticles, and hydrogels, may enhance the therapeutic potential of intra-articular agents by increasing the permanence of selected drugs inside the joint and better targeting specific receptors and tissues.