Capsaicin is an alkaloid molecule with outstanding biological activity. Several reports have shown that capsaicin exerts significant antitumoral effects in several cancer cell lines, including gliomas. However, its application has been very limited due to its hydrophobicity, low affinity, and short life span. Gliomas are a heterogeneous group of brain malignant tumors with increasing prevalence worldwide. Standard therapy against these tumors generally includes resection by surgery, radiation, and chemotherapy or their combination. However, elicitation of tumor resistance to chemical or radiation treatments remains one of the main challenges to be resolved, particularly in the case of glioblastomas. Nanotechnology is an innovative approach to the treatment of Central Nervous System diseases and especially to gliomas treatment. Indeed, the use of nanotherapeutic formulations offers several advantages over the conventional methods of drug delivery therapy. In this review, we analyzed the current literature regarding the development of capsaicin-loaded nanoparticles as a promising approach for the treatment of malignant brain tumors.