Inspired by the micro-nano structure on the surface of biological materials or living organisms, micro-nano structure has been widely investigated in the field of functional coatings. Due to its large specific surface area, porosity, and dual-scale structure, it has recently attracted special attention. The typical fabrication processes of micro-nano structured coatings include sol-gel, hydrothermal synthesis, chemical vapor deposition, etc. This paper presents the main features of a recent deposition and synthesis technique, liquid plasma spraying (LPS). LPS is an important technical improvement of atmospheric plasma spraying. Compared with atmospheric plasma spraying, LPS is more suitable for preparing functional coatings with micro-nano structure. Micro-nano structured coatings are mainly classified into hierarchical-structure and binary-structure. The present study reviews the preparation technology, structural characteristics, functional properties, and potential applications of LPS coatings with a micro-nano structure. The micro-nano structured coatings obtained through tailoring the structure will present excellent performances.