Anti-allergic agents are used to treat a great variety of diseases which usually involve an inflammation reaction. These compounds act by inhibiting the release and the effects of inflammatory mediators (e.g. histamine) in the target tissue. The purpose of anti-allergy therapy is to deliver the drug to its local of action in a therapeutic concentration, minimizing the undesired side effects. In order to solve some of the anti-allergic agents’ physicochemical drawbacks and the limitations associated to conventional pharmaceutical formulations (e.g. poor solubility and absorption, skin permeation, stability), novel drug delivery systems, such as cyclodextrins, liposomes, micelles, microemulsions, nano and microparticles, have been developed. Depending on the allergic condition, several administration routes are used to deliver anti-allergic agents, each with its own disadvantages to overcome. In the literature, there are a vast number of papers concerning novel delivery systems for anti-allergic agents, making it difficult to evaluate the information and the promising outcomes. The aim of the present review article is to compile the recent (i.e. in the new millennium) improvements of novel drug delivery technology focusing on the achievement of anti-allergic therapeutic delivery. The potential intrinsic benefits of these systems will reflect an increased therapeutic adherence and better patients’ life quality. A critical prospect of future clinical trial directions will also be discussed.