Biocompatible nanostructured materials, especially those with large hollow void space and well-defined mesoporosity, provide promising platforms for efficient chemotherapy and diagnostic imaging of serious diseases due to their high surface to volume ratio, large surface area and pore volume, tunable pore size, easy functionalization and high loading capacity for guest agents. In this comprehensive review, we highlight the origins, the state of art, future perspectives and possible obstacles in the elaborate design, nanoscale synthesis, multifunctionalization, systematic therapeutic/diagnostic evaluation and potential clinical translation of hollow mesoporous nanoparticles (HMNs) with a variety of striking features based on the principals of advanced nano-synthetic chemistry and clinical application requirements. The synthetic protocols for representative amorphous silica, crystallized Fe3O4, MnO, TiO2, Gd2O3 and Au nanocages with large void spaces and mesoporous shells, and their structure-property relationship in nanomedical applications are reviewed. Especially, three representative biocompatible composite multifunctional hollow mesoporous nanoparticles (MHMNs), such as rattle-type (or yolk-shell), composite single-shelled and composite double-shelled MHMNs are highlighted in this review. These HMNs and MHMNs have been extensively explored of their applications in sustained/controlled drug release and synergistic chemotherapy to mitigate the side-effects of anticancer agents, circumvent the multi-drug resistance of cancer cells, improve the contrast-enhanced biological imaging for the detection of diseased tissues, and enhance the efficacies of hyperthermia and high intensity focused ultrasound (HIFU) therapy, etc. In addition, a general but versatile synthetic methodology towards MHMNs has been proposed to accomplish the advanced theranostic prerequisites of personalized medicine and pharmaceutical industries.