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Oligonucleotides (ONs) comprise a rapidly growing class of therapeutics. In recent years, the list of FDA-approved ON therapies has rapidly expanded. ONs are small (15–30 bp) nucleotide-based therapeutics which are capable of targeting DNA and RNA as well as other biomolecules. ONs can be subdivided into several classes based on their chemical modifications and on the mechanisms of their target interactions. Historically, the largest hindrance to the widespread usage of ON therapeutics has been their inability to effectively internalize into cells and escape from endosomes to reach their molecular targets in the cytosol or nucleus. While cell uptake has been improved, “endosomal escape” remains a significant problem. There are a range of approaches to overcome this, and in this review, we focus on three: altering the chemical structure of the ONs, formulating synthetic, lipid-based nanoparticles to encapsulate the ONs, or biologically loading the ONs into extracellular vesicles. This review provides a background to the design and mode of action of existing FDA-approved ONs. It presents the most common ON classifications and chemical modifications from a fundamental scientific perspective and provides a roadmap of the cellular uptake pathways by which ONs are trafficked. Finally, this review delves into each of the above-mentioned approaches to ON delivery, highlighting the scientific principles behind each and covering recent advances.