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Nanomaterials, like nanoparticles, micelles, nano-sheets, nanotubes and quantum dots, have great potentials in biomedical fields. However, their delivery is highly limited by the formation of protein corona upon interaction with endogenous proteins. This new identity, instead of nanomaterial itself, would be the real substance the organs and cells firstly encounter. Consequently, the behavior of nanomaterials in vivo is uncontrollable and some undesired effects may occur, like rapid clearance from blood stream; risk of capillary blockage; loss of targeting capacity; and potential toxicity. Therefore, protein–nanomaterial interaction is a great challenge for nanomaterial systems and should be inhibited. However, this interaction can also be used to functionalize nanomaterials by forming a selected protein corona. Unlike other decoration using exogenous molecules, nanomaterials functionalized by selected protein corona using endogenous proteins would have greater promise for clinical use. In this review, we aim to provide a comprehensive understanding of protein–nanomaterial interaction. Importantly, a discussion about how to use such interaction is launched and some possible applications of such interaction for advanced drug delivery are presented.