Treatment of bladder cancer remains a critical unmet need and requires advanced approaches, particularly the development of local drug delivery systems. The physiology of the urinary bladder causes the main difficulties in the local treatment of bladder cancer: regular voiding prevents the maintenance of optimal concentration of the instilled drugs, while poor permeability of the urothelium limits the penetration of the drugs into the bladder wall. Therefore, great research efforts have been spent to overcome these hurdles, thereby improving the efficacy of available therapies. The explosive development of nanotechnology, polymer science, and related fields has contributed to the emergence of a number of nanostructured vehicles (nano- and micro-scale) applicable for intravesical drug delivery. Moreover, the engineering approach has facilitated the design of several macro-sized depot systems (centimeter scale) capable of remaining in the bladder for weeks and months. In this article, the main rationales and strategies for improved intravesical delivery are reviewed. Here, we focused on analysis of colloidal nano- and micro-sized drug carriers and indwelling macro-scale devices, which were evaluated for applicability in local therapy for bladder cancer in vivo.