The use of smart drug delivery systems (DDSs) is one of the most promising approaches to overcome some of the drawbacks of drug-based therapies, such as improper biodistribution and lack of specific targeting. Some of the most attractive candidates as DDSs are naturally occurring, self-assembling protein nanoparticles, such as viruses, virus-like particles, ferritin cages, bacterial microcompartments, or eukaryotic vaults. Vaults are large ribonucleoprotein nanoparticles present in almost all eukaryotic cells. Expression in different cell factories of recombinant versions of the “major vault protein” (MVP) results in the production of recombinant vaults indistinguishable from native counterparts. Such recombinant vaults can encapsulate virtually any cargo protein, and they can be specifically targeted by engineering the C-terminus of MVP monomer. These properties, together with nanometric size, a lumen large enough to accommodate cargo molecules, biodegradability, biocompatibility and no immunogenicity, has raised the interest in vaults as smart DDSs. In this work we provide an overview of eukaryotic vaults as a new, self-assembling protein-based DDS, focusing in the latest advances in the production and purification of this platform, its application in nanomedicine, and the current preclinical and clinical assays going on based on this nanovehicle.