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Some cancers such as human breast cancer, prostate cancer, and lung cancer easily metastasize to bone, leading to osteolysis and bone destruction accompanied by a complicated microenvironment. Systemic administration of bisphosphonates (BP) or denosumab is the routine therapy for osteolysis but with non-negligible side effects such as mandibular osteonecrosis and hypocalcemia. Thus, it is imperative to exploit optimized drug delivery systems, and some novel nanotechnology and nanomaterials have opened new horizons for scientists. Targeted and local drug delivery systems can optimize biodistribution depending on nanoparticles (NPs) or microspheres (MS) and implantable biomaterials with the controllable property. Drug delivery kinetics can be optimized by smart and sustained/local drug delivery systems for responsive delivery and sustained delivery. These delicately fabricated drug delivery systems with special matrix, structure, morphology, and modification can minimize unexpected toxicity caused by systemic delivery and achieve desired effects through integrating multiple drugs or multiple functions. This review summarized recent studies about optimized drug delivery systems for the treatment of cancer metastatic osteolysis, aimed at giving some inspiration in designing efficient multifunctional drug delivery systems.