Lung cancer is the leading cause of cancer mortality. As a heterogeneous disease, it has different subtypes and various treatment modalities. In addition to conventional surgery, radiotherapy and chemotherapy, targeted therapy and immunotherapy have also been applied in the clinics. However, drug resistance and systemic toxicity still cannot be avoided. Based on the unique properties of nanoparticles, it provides a new idea for lung cancer therapy, especially for targeted immunotherapy. When nanoparticles are used as carriers of drugs with special physical properties, the nanodrug delivery system ensures the accuracy of targeting and the stability of drugs while increasing the permeability and the aggregation of drugs in tumor tissues, showing good anti-tumor effects. This review introduces the properties of various nanoparticles including polymer nanoparticles, liposome nanoparticles, quantum dots, dendrimers, and gold nanoparticles and their applications in tumor tissues. In addition, the specific application of nanoparticle-based drug delivery for lung cancer therapy in preclinical studies and clinical trials is discussed.