Advanced treatments based on immune system manipulation, gene transcription and regulation, specific organ and cell targeting, and/or photon energy conversion have emerged as promising therapeutic strategies against a range of challenging diseases. Naturally derived macromolecules (e.g., proteins, lipids, polysaccharides, and polyphenols) have increasingly found use as fundamental building blocks for nanostructured particles as their advantageous properties, including biocompatibility, biodegradability, inherent bioactivity, and diverse chemical properties make them suitable for advanced therapeutic applications. This review provides a timely and comprehensive summary of the use of a broad range of natural building blocks in the rapidly developing field of advanced therapeutics with insights specific to nanostructured particles. We focus on an up-to-date overview of the assembly of nanostructured particles using natural building blocks and summarize their key scientific and preclinical milestones for advanced therapies, including adoptive cell therapy, immunotherapy, gene therapy, active targeted drug delivery, photoacoustic therapy and imaging, photothermal therapy, and combinational therapy. A cross-comparison of the advantages and disadvantages of different natural building blocks are highlighted to elucidate the key design principles for such bio-derived nanoparticles toward improving their performance and adoption. Current challenges and future research directions are also discussed, which will accelerate our understanding of designing, engineering, and applying nanostructured particles for advanced therapies.