This review aims to provide a description of the recent advances in the preparation of polymer nanocomposites via mechanical milling. An assessment of possible future scenarios that could be created by the utilization of improved experimental methodologies and a deeper understanding of structure-property relationship is also provided. It is then reported, in a logical sequence, crucial information on five subjects: (i) the motivation of fundamental and applied research in the field of thermoplastic and thermosetting polymer nanocomposites, (ii) the mechanochemical response of polymeric substances to mechanical activation, (iii) the broad spectrum of experimental behaviours exhibited by the most studied classes of polymers, (iv) the methodology for the mindful utilization of mechanical processing to mix polymers and disperse heterophases, and (v) the physico-chemical approach to describing the kinetics of mechanically activated transformations. In addition, critical questions regarding the advantages and disadvantages of mechanical processing compared to more conventional dispersion methods are highlighted. Finally, the general trends in the current research are discussed, and possible future perspectives in this field are briefly described.