Recent advances in the fabrication, characterization and application of micro- and nano-particles that possess a non-uniform internal structure are reviewed. The particle structures include core-shell particles, particles with multiple cores or a multi-layered structure, porous particles with both regular and random pore structure, as well as complex composite particles possessing several of the above features. Particles based on "hard" inorganic materials such as silica, "soft" organic materials such as polymers and their composites are considered. The fabrication approaches include bottom-up self-assembly techniques, templating methods, microfluidics, and various emulsion-based routes to structured micro- and nano-particle formation, combined with both physical (e.g. Pickering emulsions) and chemical (e.g. polymerization, precipitation) processes for the material deposition. The applications of the structured particles for the encapsulation and controlled delivery of active substances are then reviewed with emphasis on those systems where the complex particle structure can provide specific benefits such as in-situ formation of the active substance or precise control over the release profile. Likely future research directions and prospects are discussed.