Recent advance in the laser ablation techniques enables us to synthesize various nanostructured materials. In particular, composite nanoparticles are considered as building blocks for various nanostructured materials. In this review article, recent studies on synthesis of composite nanoparticles using laser ablation are introduced. Various types of composite nanoparticles, such as core-shell, patch, and anisotropic particles, are synthesized by one-step process by laser irradiation of multi-component solid targets. Some typical examples of generated composite are also introduced.