Electrochromic materials and devices with the capability of dynamic optical regulation have attracted considerable attention recently and have shown a variety of potential applications including energy-efficient smart windows, multicolor displays, atuto-diming mirrors, military camouflage, and adaptive thermal management due to the advantages of active control, wide wavelength modulation, and low energy consumption. However, its development still experiences a number of issues such as long response time and inadequate durability. Nanostructuring has demonstrated that it is an effective strategy to improve the electrochromic performance of the materials due to the increased reaction active sites and the reduced ion diffusion distance. Various advanced inorganic nanomaterials with high electrochromic performance have been developed recently, significantly contributing to the development of electrochromic applications. In this review, we systematically introduce and discuss the recent advances in advanced inorganic nanomaterials including zero-, one-, and two-dimensional materials for high-performance electrochromic applications. Finally, we outline the current major challenges and our perspectives for the future development of nanostructured electrochromic materials and applications.