Essential oils are complex blends of a variety of volatile molecules such as terpenoids, phenol-derived aromatic components, and aliphatic components having a strong interest in pharmaceutical, sanitary, cosmetic, agricultural, and food industries. Since the middle ages, essential oils have been widely used for bactericidal, virucidal, fungicidal, antiparasitical, insecticidal, and other medicinal properties such as analgesic, sedative, anti-inflammatory, spasmolytic, and locally anaesthetic remedies. In this review their nanoencapsulation in drug delivery systems has been proposed for their capability of decreasing volatility, improving the stability, water solubility, and efficacy of essential oil-based formulations, by maintenance of therapeutic efficacy. Two categories of nanocarriers can be proposed: polymeric nanoparticulate formulations, extensively studied with significant improvement of the essential oil antimicrobial activity, and lipid carriers, including liposomes, solid lipid nanoparticles, nanostructured lipid particles, and nano- and microemulsions. Furthermore, molecular complexes such as cyclodextrin inclusion complexes also represent a valid strategy to increase water solubility and stability and bioavailability and decrease volatility of essential oils.