From an energy-saving perspective, solar heat shielding materials for architectural or automobile glass have become more and more important for sustainable development, which has attracted global attention. The solar heat shielding materials need to meet the requirements of high visible transmittance, strong near infrared absorption, low cost and easy process. Nanostructured rare-earth hexaborides and tungsten bronzes are new kinds of promising heat shielding materials with excellent properties. This review presents a brief introduction on the recent progress in these two kinds of materials. Systematic work including the synthesis, characterization and optical response of nanocrystalline rare-earth hexaborides and tungsten bronzes are summarized. Especially the theoretical explanations of the mechanism of optical properties, tunable characteristic of optical properties, influence of particle size and shape on its optical response are reviewed in this document. Finally, we offer some suggestions for further investigation on these nanostructures, including efficient preparation methods considering environmental and economic costs for obtain morphology and size controllable samples; preventing agglomeration of the final products; some problems to be solved for commercial application. The review can provide a quick reference and overview for heat shielding materials and smart window industry.