Nanostructured polymers (NSPs) are polymeric materials in the size of nanoscale, normally consisting of nanoparticles, nanofibers, nanowires, nanospheres and other morphologies. Polymer nanoparticles (PNPs) can be fabricated either by physical methods (i.e., solvent evaporation, nanoprecipitation, salting out) or by direct nanosynthesis, using micro- or nanoemulsions with nanoreactor compartments to perform polymerization. Polymer nanofibers (PNFs) can be produced via various techniques and the most commonly used approach is electrospinning, whereby a charged solution of a polymer when exposed to an opposite high electric field is pulled into long thin nanofibers. NSPs in general exhibit enhanced properties such as excellent structural and mechanical properties, making them promising candidates for some particular building applications. A variety of PNFs have been developed and used for noise and air pollution filtration. Moreover, PNFs can also be fabricated with phase change materials which are usually employed for thermal energy storage in construction industry. In this review, we will summarize the morphologies and nanosynthesis methods of NSPs, in particular, PNPs and PNFs. In addition, representative NSPs mainly used in construction are introduced for building applications.