Halide perovskites have emerged as a class of promising semiconductor materials owing to their remarkable optoelectronic properties exhibiting in solar cells, light-emitting diodes, semiconductor lasers, etc. Inorganic halide perovskites are attracting increasing attention because of the higher stability toward moisture, light, and heat as compared with their organic-inorganic hybrid counterparts. In particular, inorganic halide perovskite nanomaterials provide controllable morphology, tunable optoelectronic properties, and improved quantum efficiency. Here, the development controlled synthesis of desired inorganic halide perovskite nanostructures by various chemical approaches is described. Utilizing these nanostructures as platforms, anion exchange chemistry for wide compositional and optical tunabilities is described, and the rich structural phase transition phenomenon and mechanism investigated systematically. Furthermore, these nanostructures and extracted knowledge are applied to design photonic, photovoltaic, and thermoelectric devices. Finally, future directions and challenges toward improvement of the optical, electrical, and optoelectronic properties, exploration of the anion and cation exchange kinetics, and alleviation of the stability and toxicity issues in inorganic lead based halide perovskites are discussed to provide an outlook on this promising field.