Polymer vesicles and lipid nanoparticles are supramolecular structures with similar physicochemical properties that are self-assembled from different amphiphilic molecules. Because of their efficient drug encapsulation capability, they are good candidates for drug delivery systems. In recent years, nanoparticles with different compositions, sizes, and morphologies have been applied to the delivery of a wide variety of different therapeutic molecules, such as nucleic acids, proteins, and enzymes; their remarkable chemical versatility allows for customization to specific biological applications. In this review, design approaches for polymer vesicles and lipid nanoparticles are summarized with representative examples in terms of their physicochemical properties (size, shape, and mechanical features), preparation strategies (film rehydration, solvent switch, and nanoprecipitation), and applications (with a focus on diagnosis, imaging, and RNA-based therapy). Finally, the challenges limiting the transition from laboratory to clinical application and future perspectives are discussed.