Brain tumor accounts for about 1.6% of incidence and 2.5% of mortality of all tumors, and the median survival for brain tumor patients is only about 20 months. The treatment for brain tumor still faces many challenges, such as the blood-brain barrier (BBB), blood-brain tumor barrier (BBTB), the overexpressed efflux pumps, the infiltration, invasion, high heterogeneity of tumor cells, drug resistance and immune escape caused by tumor microenvironment (TME) and cancer stem cells (CSC). This review attempts to clarify the challenges for multi-functional nano drug delivery systems (NDDS) to cross the BBB and target the cancer cells or organelles, and also provides a brief description of the different types of targeted multi-functional NDDS that have shown potential for success in delivering drugs to the brain. Further, this review also summarizes the research progress of multi-functional NDDS in the combination therapy of brain tumors from the following sections, the combination of chemotherapy drugs, chemotherapy-chemodynamic combination therapy, chemotherapy-immunization combination therapy, and chemotherapy-gene combination therapy. We also provide an insight into the recent advances in designing multi-functional NDDS for combination therapy.