The identification of numerous deregulated signaling pathways on cancer cells and supportive stromal cells has revealed several molecular targets whose downregulation can elicit significant benefits for cancer treatment. In this respect, gene downregulation can be efficiently achieved by exploiting the RNA interference mechanism, particularly by the delivery of chemical synthesized small-interfering RNAs (siRNAs), which have the ability to mediate, in a specific manner, the degradation of any mRNA with complementary nucleotide sequence. However, several concerns regarding off-target effects and immune stimulation have been raised. Depending on their sequence, siRNAs can trigger an innate immune response, which might mediate undesirable side effects that ultimately compromise their clinical utility. This is a very relevant effect that will be discussed in the present manuscript. Moreover, the major drawback in the translation of siRNAs into the clinical practice is undoubtedly their inability to accumulate in tumor sites, particularly in organs other than the liver. In fact, upon systemic administration, owing to siRNAs physico-chemical features, they are rapidly cleared from the blood stream. Therefore, the development of a proper drug delivery system is of utmost importance. In this review, some of the latest advances on different nanotechnological platforms for siRNA delivery under clinical evaluation will be discussed. Along with this, targeting approaches towards cancer and/or endothelial cells will also be addressed, as these are some of the most promising strategies to enhance specific tumor accumulation while avoiding healthy tissues. Finally, clinical information on ongoing studies in patients with advanced solid tumors will be also provided.