Plasmonic nanostructures possessing unique and versatile optoelectronic properties have been vastly investigated over the past decade. However, the full potential of plasmonic nanostructure has not yet been fully exploited, particularly with single-component homogeneous structures with monotonic properties, and the addition of new components for making multicomponent nanoparticles may lead to new-yet-unexpected or improved properties. Here we define the term "multi-component nanoparticles" as hybrid structures composed of two or more condensed nanoscale domains with distinctive material compositions, shapes, or sizes. We reviewed and discussed the designing principles and synthetic strategies to efficiently combine multiple components to form hybrid nanoparticles with a new or improved plasmonic functionality. In particular, it has been quite challenging to precisely synthesize widely diverse multicomponent plasmonic structures, limiting realization of the full potential of plasmonic heterostructures. To address this challenge, several synthetic approaches have been reported to form a variety of different multicomponent plasmonic nanoparticles, mainly based on heterogeneous nucleation, atomic replacements, adsorption on supports, and biomolecule-mediated assemblies. In addition, the unique and synergistic features of multicomponent plasmonic nanoparticles, such as combination of pristine material properties, finely tuned plasmon resonance and coupling, enhanced light-matter interactions, geometry-induced polarization, and plasmon-induced energy and charge transfer across the heterointerface, were reported. In this review, we comprehensively summarize the latest advances on state-of-art synthetic strategies, unique properties, and promising applications of multicomponent plasmonic nanoparticles. These plasmonic nanoparticles including heterostructured nanoparticles and composite nanostructures are prepared by direct synthesis and physical force- or biomolecule-mediated assembly, which hold tremendous potential for plasmon-mediated energy transfer, magnetic plasmonics, metamolecules, and nanobiotechnology.