Piezoelectric nanomaterials (PNs) are attractive for applications including sensing, actuating, energy harvesting, among others in nano-electro-mechanical-systems (NEMS) because of their excellent electromechanical coupling, mechanical and physical properties. However, the properties of PNs do not coincide with their bulk counterparts and depend on the particular size. A large amount of efforts have been devoted to studying the size-dependent properties of PNs by using experimental characterization, atomistic simulation and continuum mechanics modeling with the consideration of the scale features of the nanomaterials. This paper reviews the recent progresses and achievements in the research on the continuum mechanics modeling of the size-dependent mechanical and physical properties of PNs. We start from the fundamentals of the modified continuum mechanics models for PNs, including the theories of surface piezoelectricity, flexoelectricity and non-local piezoelectricity, with the introduction of the modified piezoelectric beam and plate models particularly for nanostructured piezoelectric materials with certain configurations. Then, we give a review on the investigation of the size-dependent properties of PNs by using the modified continuum mechanics models, such as the electromechanical coupling, bending, vibration, buckling, wave propagation and dynamic characteristics. Finally, analytical modeling and analysis of nanoscale actuators and energy harvesters based on piezoelectric nanostructures are presented.