Synthesis, structures, and properties of boron nitride (BN) nanoparticles and nanocapsules were reviewed. They were prepared by various synthetic methods, such as thermal annealing, chemical vapor deposition, and arc melting. The structural characterization was performed by X-ray diffraction, transmission electron microscopy, and theoretical calculations. The properties were also investigated and discussed. Multiply twinned nanoparticles were investigated for chemical vapor-deposited BN with hexagonal, rhombohedral, and cubic crystal systems. A process for mass production of magnetic nanoparticles encapsulated with BN nanolayers was developed. The nanocapsules exhibited soft magnetic properties and excellent oxidation resistances. These BN nanoparticle materials are expected as various applications for recording media, nanoelectronic devices, and sensors for biological devices with good protection against wear and oxidation.