Radiopharmaceuticals play a vital role in cancer therapy. The carrier of radiopharmaceuticals can precisely locate and guide radionuclides to the target, where radionuclides kill surrounding tumor cells. Effective application of radiopharmaceuticals depends on the selection of an appropriate carrier. Herein, different types of carriers of radiopharmaceuticals and the characteristics are briefly described. Subsequently, we review radiolabeled monoclonal antibodies (mAbs) and their derivatives, and novel strategies of radiolabeled mAbs and their derivatives in the treatment of lymphoma and colorectal cancer. Furthermore, this review outlines radiolabeled peptides, and novel strategies of radiolabeled peptides in the treatment of neuroendocrine neoplasms, prostate cancer, and gliomas. The emphasis is given to heterodimers, bicyclic peptides, and peptide-modified nanoparticles. Last, the latest developments and applications of radiolabeled nucleic acids and small molecules in cancer therapy are discussed. Thus, this review will contribute to a better understanding of the carrier of radiopharmaceuticals and the application in cancer therapy.