Nanoparticles are expected to significantly enhance future thermal energy generation systems, thermal energy storage materials, thermal interface materials and electronic devices. However, very few of these technologies are able to take full advantage of the unique thermal properties of nanoparticles, primarily due to the unusual transport phenomena that occur at their interfaces. To this end, a wealth of recent research has focused on the characterization and control of heat flow at different types of nanoparticle interfaces. The goal of this review is to provide critical insight into the mechanisms that govern thermal transport at three different types of nanoparticle interfaces, including: nanoparticle-substrate, nanoparticle-matrix and nanoparticle-nanoparticle interfaces. As part of this effort, we quantify the magnitude of heat flow at each type of interface using a collection of data that is available in the literature. This data is used to determine which physical mechanisms govern thermal transport at each different type of interface. Recent progress in the development of state-of-the-art thermal characterization techniques is also examined within the context of each type of nanoparticle interface. Finally, methods to control heat flow at different nanoparticle interfaces are discussed and future research needs are projected.