The focus of this review is on a new class of nanocomposites containing inorganic nanoparticles in a polyelectrolyte matrix. The recent advances in the application of electrophoretic deposition for the fabrication of the nanocomposite films are reviewed. New electrochemical strategies are discussed which are based on the use of strong, weak polyelectrolytes, and polymer-metal ion complexes. Many parameters, such as the pH, molecular weight of polyelectrolyte and bath composition influence the deposition process, microstructure and properties of the nanocomposite materials. Various applications, in areas as diverse as catalysis, fuel cells, protection of metals, biomedical implants, quantum dots, superparamagnetic devices, and supercapacitors were proposed for these fascinating new materials.