The development of targeted nanomedicines for cancer therapy has been an utmost focus of research across different fields including materials science, nanotechnology, biotechnology, pharmaceutics, and clinical medicine. Vehicle-mediated, enhanced and tumor-selective delivery is deemed as a powerful tool to boost the efficacy and meanwhile minimize the off-target effect of potent chemo drugs, and to potentiate biopharmaceuticals such as nucleic acids (DNA, siRNA, miRNA, mRNA, CRISPR/Cas9, etc.), proteins and peptides that poorly penetrate the cell membrane on their own while having explicit effects intracellularly. The targeted nanomedicines may further provide imminent treatments for intractable brain tumors by transporting drugs across the blood-brain barriers, multi-drug resistant (MDR) tumors by evading the MDR pathways, metastatic tumors by inhibiting migratory tumor cells, and relapsed tumors by eliminating the cancer stem cells. The preclinical and clinical investigations demonstrate the clear benefits of targeted nanomedicines in treating advanced solid and hematological malignancies. In this review, we highlight the design and construction of conceptually interesting and clinically viable actively targeted cancer nanomedicines containing small molecular drugs, nucleic acid drugs, or protein/peptide drugs, discuss their pros and cons, and give perspectives on the future developments and clinical translation. We are convinced that with collaborative research and development across the disciplines, actively targeted cancer nanomedicines will make a breakthrough and become an indispensable platform for precision cancer therapy.