Nanomedicine, the application of nanotechnology to medicine, is being increasingly used to improve and exploit the advantages of efficient drug delivery. Different nanodevices have been developed in recent years, among them protein-based nanoparticles which have gained considerable interest. Albumin is a versatile protein carrier with several characteristics that make it an ideal candidate for drug delivery, such as its availability, its biocompatibility, its biodegradability, and its lack of toxicity and immunogenicity. This review embodies an overview of different methods available for production of albumin-based nanoparticles, with focus on high-energy emulsification methods. A comparison between production by using sonication, which involves acoustic cavitation, and the high pressure homogenization method, where occurs hydrodynamic cavitation, is presented. Taking into account important properties of nanoparticles required for intravenous administration, the use of poloxamers, tri-block copolymer surfactants is discussed as it improves blood circulation time and bioavailability of nanoparticles. Thus, nanoparticles can be engineered to provide adequate features to therapeutic applications, in which can be included surface functionalization with targeting agents. Different albumin-based formulations and their therapeutic applications are presented in this review, with emphasis on applications in cancer therapy, where albumin-based strategies are promising for targeted drug delivery in innovative clinical strategies.