It is well established that colloidal polymer particles can be used to create organised structures by methods of horizontal deposition, vertical deposition, spin-casting, and surface pattern-assisted deposition. Each particle acts as a building block in the structure. This paper reviews how two-phase (or hybrid) polymer colloids can offer an attractive method to create nanocomposites. Structure in the composite can be controlled at the nanoscale by using such particles. Methods to create armored particles, such as via methods of hetero-flocculation and Pickering polymerization, are of particular interest here. Polymer colloids can also be blended with other types of nanoparticles, e.g. nanotubes and clay platelets, to create nanocomposites. Structure can be controlled over length scales approaching the macroscopic through the assembly of hybrid particles or particle blends via any of the various deposition methods. Colloidal nanocomposites can offer unprecedented long-range 2D or 3D order that provides a periodic modulation of physical properties. They can also be employed as porous templates for further nanomaterial fabrication. Challenges in the design and control of the macroscopic properties, especially mechanical, are considered. The importance of the internal interfacial structure (e.g. between inorganic and polymer particles) is highlighted.