The aim of this review was to assess recent progress in targeted radionuclide tumor therapy, focusing on the best delivery strategies. A literature search was conducted in PubMed, Web of Science, and Scopus using the terms “radionuclides”, “liposomes”, “avidin–biotin interaction”, “theranostic”, and “molecular docking”. The 10 year filter was applied, except for the avidin–biotin interaction. Data were retrieved from both preclinical and clinical settings. Three targeting strategies were considered: pretargeting, liposomes, and ligands. Pretargeting can be achieved by exploiting the avidin–biotin interaction. This strategy seems very promising, although it has been investigated mainly in resectable tumors. Radiolabeled liposomes have attracted new interest as probes to identify the most suitable patients for treatment with liposomal formulations of common chemotherapeutics. The use of ligands for the delivery of radiotherapeutics to a specific target is still the most appealing strategy for treating tumors. The most appropriate ligand can be identified by virtually simulating its interaction with the receptor. All strategies showed great potential for use in targeted radionuclide therapy, but they also have numerous drawbacks. The most promising option is probably the one based on the use of new ligands.