Around 200 cytokines with roles in cell signaling have been identified and studied, with the vast majority belonging to the four-α-helix bundle family. These proteins exert their function by binding to specific receptors and are implicated in many diseases. The use of several cytokines as therapeutic targets has been approved by the FDA, however their rapid clearance in vivo still greatly limits their efficacy. Nano-based drug delivery systems have been widely applied in nanomedicine to develop safe, specific and controlled delivery techniques. Nevertheless, each nanomaterial has its own specifications and their suitability towards the biochemical and biophysical properties of the selected drug needs to be determined, weighing in the final choice of the ideal nano drug delivery system. Nanoparticles remain the most used vehicle for cytokine delivery, where polymeric carriers represent the vast majority of the studied systems. Liposomes and gold or silica nanoparticles are also explored and discussed in this review. Additionally, surface functionalization is of great importance to facilitate the attachment of a wide variety of molecules and modify features such as bioavailability. Since the monitoring of cytokine levels has an important role in early clinical diagnosis and for assessing therapeutic efficacy, nanotechnological advances are also valuable for nanosensor development.