The rational design of drug delivery systems has led to enhanced targeting, increased efficiency, and a reduction of side effects in chemotherapies and vaccines. As most biological reactions took place at the interface, particle-stabilized emulsion (Pickering emulsion), may offer major implications for the advanced drug loading, delivery, and controlled release. In fact, it is the aggregating particles that determined the multi-level structure, multi-valent cellular interactions, and the multi-functional physiochemical properties in drug delivery. A deeper understanding on the tunable aggregating patterns and properties, as well as the underlying mechanisms, may pave the way for the efficient drug delivery, and also aided the progressing of "Aggregology" beyond molecules to particles, emulsions, and the biomedical applications. Here, the recent development of Pickering emulsions and their applications in drug delivery were thoroughly reviewed. Strategies to control over the physiochemical properties were illustrated based on particle properties, energy input, and the choices of continuous and dispersion phases. In particular, enough emphasis was attached on the structure-effect relationship between the tunable physiochemical properties and the delivery process, such as the multi-level structure for effective loading, flexibility and permeability for enhanced delivery, and the stimuli-responsiveness for the controlled release. By channeling the unique interfacial properties and the enhanced drug delivery efficiency, this work may shed light on the rational design of Pickering emulsions for the efficient drug delivery.