The inherent properties of albumin facilitate its effective use as a raw material to prepare a nanosized drug delivery vehicles. Because of the enhanced surface area, biocompatibility, and extended half-life of albumin nanoparticles, a number of drugs have been incorporated in albumin matrices in recent years. Furthermore, its ability to be conjugated to various receptor ligands makes albumin an ideal candidate for the increased delivery of drugs to specific sites. The present review provides an in-depth discussion of production strategies for the preparation of albumin and conjugated albumin nanoparticles and for the targeting of these formulations to specific organs and cancer cells. This review also provides insights into drug loading, release patterns, and cytotoxicity of various drug-loaded albumin nanoparticles.