Microspheres are a novel drug delivery system, which provides a new approach for cancer therapy. Anti-cancer agents loaded in microspheres can be released in a controlled and sustained pattern, thereby enhancing the therapeutic efficacy and reducing the side effects and toxicity. The preparation methods for drug delivery microspheres include solvent evaporation, phase separation, spray drying, and microfluidic technology, each of these have advantages and limitations. Based on the preparation materials, drug delivery microspheres can be categorized into natural polymer microspheres, synthetic polymer microspheres and bioceramic microspheres. Natural polymer micro-spheres have good biocompatibility and degradability; synthetic polymer microspheres exhibit superior mechanical properties; bioceramic microspheres have good biocompatibility and specific biological functions, which are widely used in bone tissue engineering. Drug delivery microspheres are used for cancer treatment in various modalities, including photothermal therapy, photodynamic therapy, radioembolization, and immunotherapy, as well as chemotherapy. This article reviews the recent progress of microspheres as nano drug delivery system in cancer treatment to provide a reference for further clinical and translation research.