Hydrogel nanoparticles—also referred to as polymeric nanogels or macromolecular micelles—are emerging as promising drug carriers for therapeutic applications. These nanostructures hold versatility and properties suitable for the delivery of bioactive molecules, namely of biopharmaceuticals. This article reviews the latest developments in the use of self-assembled polymeric nanogels for drug delivery applications, including small molecular weight drugs, proteins, peptides, oligosaccharides, vaccines and nucleic acids. The materials and techniques used in the development of self-assembling nanogels are also described.