The musculoskeletal tissues are highly ordered nanostructured materials, and they have self-healing capability. However, when the tissue damage is beyond the capability, therapeutic approaches to repair or regenerate the tissues are needed. Nanomaterials have attracted much research attention to create novel tissue engineering scaffolds, because of their small size, large surface area, enhanced mechanical properties, tunable molecular and chemical structures, and various surface functionalities. With the development of nanotechnology, nanostructured materials with properties that more closely fulfill the requirement in the course of recovery of native tissues were designed, synthesized, characterized and utilized systematically. Here, we introduce the microenvironment of the extracellular matrix in musculoskeletal tissues. We further summarize the nanostructured materials currently used in musculoskeletal tissue engineering including natural polymers, synthetic polymers and inorganic materials. Specifically, the fabrication and applications of different nanomaterials in bone, cartilage, and muscle tissue engineering are discussed in detail. The most recent research achievements in each category are presented and discussed. Overall, nanostructured materials can be synthesized with controlled composition, size, geometry, and morphology. In order to enhance biocompatibility, immune compatibility and cell adhesion, the surface of these materials can be modified for different applications in musculoskeletal tissue scaffolds. Although more tasks and challenges need to be addressed and resolved in order to translate them into commercialized products, nanostructured materials represent very promising candidates in the development of musculoskeletal tissue engineering in the future.