Due to very high mobility in the environment and penetration ability into living organisms, nanoparticles (NPs) of urban dust pose a potential threat to human health and urban ecosystems. Currently, data on the chemical composition of NPs of urban dust, their fate in the environment, and corresponding risks are rather limited. In the present work, NPs of deposited urban dust have been comprehensively studied for the first time; NPs isolated from 78 samples of dust collected in Moscow, the largest megacity in Europe, being taken as example. The elemental composition, potential sources as well as environmental, ecological, and health risks of NPs of urban dust are assessed. It is found that dust NPs are extremely enriched by Cu, Hg, Zn, Mo, Sb, and Pb, and can serve as their carrier in urban environments. No regularities in the spatial distribution of elements have been found, probably, due to high mobility of dust NPs. High ecological and health risks caused by dust NPs are demonstrated. Source apportionment study has evaluated one natural and two anthropogenic sources of elements in NPs of urban dust; the contribution of natural and anthropogenic sources being comparable. It is also shown that dust NPs may be considered as an important carrier of trace elements in urban aquatic systems. Additionally, the risks associated with NPs and bulk samples of dust have been compared. The observed risks associated with NPs are significantly higher.