The global outbreak of coronavirus disease 2019 (COVID-19) has been catastrophic to both human health and social development. Therefore, developing highly reliable and sensitive point-of-care testing (POCT) for detecting severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has become a priority. Among all available POCTs, the lateral flow immunoassay (LFIA, also known as immunochromatography) has proved to be effective due to its accuracy, portability, convenience, and speed. In areas with a scarcity of laboratory resources and medical personnel, the LFIA provides an affordable option for the diagnosis of COVID-19. This review offers a comprehensive overview of methods for improving the sensitivity of SARS-CoV-2 detection using immunochromatography based on nanotechnology, sorted according to the different detection targets (antigens, antibodies, and nucleic acids). It also looks into the performance and properties of the various sensitivity enhancement strategies, before delving into the remaining challenges in COVID-19 diagnosis through LFIA. Ultimately, it seeks to provide helpful guidance in selecting an appropriate strategy for SARS-CoV-2 immunochromatographic detection based on nanotechnology.