Unsaturated fatty acids (UFAs), with the distinct advantages of good biocompatibility and innate tumor-targeting effect, have been widely investigated for the rational design of chemotherapy agent-unsaturated fatty acid (CA-UFA) prodrugs in cancer therapy. Among them, several CA-UFA prodrugs have successfully entered clinical trials and are promising prospects for potential clinical applications. In addition, CA-UFA prodrug-based nanoparticulate drug delivery systems (nano-DDS), which integrate the advantages of CA-UFA prodrugs and nano-DDS, have been emerging as versatile nano-carriers for the efficient delivery of chemotherapeutics. In this paper, we review the advanced drug delivery strategies based on UFA conjugates and focus on the recent advances in CA-UFA prodrugs and the emerging CA-UFA prodrug-based nano-DDS. First, we discuss the rational design of CA-UFA prodrugs in response to the multiple obstacles in chemotherapy, with particular emphasis on the latest progress in both preclinical studies and clinical trials. Moreover, the emerging CA-UFA prodrug-based nano-DDS are also addressed. Finally, the prospects and potential challenges of CA-UFA prodrug-based drug delivery strategies in chemotherapy are highlighted. Chemotherapy agent-unsaturated fatty acid (CA-UFA) prodrugs-based drug delivery strategies show distinct advantages in cancer chemotherapy. Display omitted