The rapidly expanding toolbox for design and preparation is a major driving force for the advances in nanomaterials science and technology. Melt infiltration originates from the field of ceramic nanomaterials and is based on the infiltration of porous matrices with the melt of an active phase or precursor. In recent years, it has become a technique for the preparation of advanced materials: nanocomposites, pore-confined nanoparticles, ordered mesoporous and nanostructured materials. Although certain restrictions apply, mostly related to the melting behavior of the infiltrate and its interaction with the matrix, this review illustrates that it is applicable to a wide range of materials, including metals, polymers, ceramics, and metal hydrides and oxides. Melt infiltration provides an alternative to classical gas-phase and solution-based preparation methods, facilitating in several cases extended control over the nanostructure of the materials. This review starts with a concise discussion on the physical and chemical principles for melt infiltration, and the practical aspects. In the second part of this contribution, specific examples are discussed of nanostructured functional materials with applications in energy storage and conversion, catalysis, and as optical and structural materials and emerging materials with interesting new physical and chemical properties. Melt infiltration is a useful preparation route for material scientists from different fields, and we hope this review may inspire the search and discovery of novel nanostructured materials.