The broad diversity of structures and the presence of numerous functional groups available for chemical modifications represent an enormous advantage for the development of safe, non-toxic, and cost-effective micellar drug delivery systems (DDS) based on natural biopolymers, such as polysaccharides, proteins, and peptides. Different drug-loading methods are used for the preparation of these micellar systems, but it appeared that dialysis is generally recommended, as it avoids the formation of large micellar aggregates. Moreover, the preparation method has an important influence on micellar size, morphology, and drug loading efficiency. The small size allows the passive accumulation of these micellar systems via the permeability and retention effect. Natural biopolymer-based micellar DDS are high-value biomaterials characterized by good compatibility, biodegradability, long blood circulation time, non-toxicity, non-immunogenicity, and high drug loading, and they are biodegraded to non-toxic products that are easily assimilated by the human body. Even if some recent studies reported better antitumoral effects for the micellar DDS based on polysaccharides than for commercial formulations, their clinical use is not yet generalized. This review is focused on the studies from the last decade concerning the preparation as well as the colloidal and biological characterization of micellar DDS based on natural biopolymers.