Controllable integration of noble metals (e.g., Au, Ag, Pt, and Pd) and metal oxides (e.g., TiO₂, CeO₂, and ZrO₂) into single nanostructures has attracted immense research interest in heterogeneous catalysis, because they not only combine the properties of both noble metals and metal oxides, but also bring unique collective and synergetic functions in comparison with single-component materials. Among many strategies recently developed, one of the most efficient ways is to encapsulate and protect individual noble metal nanoparticles by a metal oxide shell of a certain thickness to generate the core-shell or yolk-shell structure, which exhibits enhanced catalytic performance compared with conventional supported catalysts. In this review article, we summarize the state-of-the art progress in synthesis and catalytic application of noble metal nanoparticle@metal oxide core/yolk-shell nanostructures. We hope that this review will help the readers to obtain better insight into the design and application of well-defined nanocomposites in both the energy and environmental fields.