Smart and novel materials require the replacement of conventional composites with superior ones, which requires an advanced class of composites with multi-functionality. Multi-scale composites are advanced composites that are reinforced with nanoscale materials along with macroscale fibers, and these materials have attracted the attention of researchers as well as various industries. Multi-scale composites have potential applications in almost every field due to their remarkable features like extraordinary mechanical, electrical, and optical properties; extremely high aspect ratios of the nanomaterial constituents; and the uniformity, flexibility, and stability of the fibers. To optimize the performance of these kinds of composites, it is crucial to understand the selection of appropriate reinforcements, processing, and utilization of these advanced materials. Most reviews in this area concentrate only on CNTs, while this review considers other nanomaterials too. Additionally, various methods to improve the dispersion of nanomaterials into the matrix are also discussed. Overall, this article focuses on the components of multi-scale composites, key challenges related to their processing, and the multi-functionality of designed multi-scale composites.