Direct delivery of macromolecules to the lungs will lead to new treatments for pulmonary diseases that are currently debilitating for millions of people all over the world. These approaches will enable novel gene therapy treatments as well as other nucleic acid and protein therapies, while doing so in a manner that is noninvasive, improves drug efficacy, and reduces systemic side effects. Despite the exciting potential of delivering macromolecules to the lungs, there has been only one therapeutic (i.e., Pulmozyme®) approved by the FDA in the last 30 years. The significant challenges to pulmonary delivery have hindered the development of many potential treatments. These challenges include the stability of proteins/nucleic acids during both encapsulation and delivery, the clearance mechanism of the airway and lungs, and the safety of the delivery vectors. Researchers have developed multiple approaches and materials to address these issues, including modification of the macromolecule, development of novel materials (polymers, lipids, and inorganics) for fabricating nano/microparticles, and the addition of excipients to the formulation. In this review article, we summarize and compare synthesis methods, encapsulation, delivery, controlled release strategies, and the shortcomings of recently developed prospective pulmonary protein/nucleic acid delivery vectors.