Transport processes in nanofluids are different. Understanding their features requires comprehension of the corresponding mechanisms in each case. Nanoparticles are mesoscopic objects. They occupy an intermediate position between microscopic objects (molecules) and ordinary macroscopic particles. This mesoscopicity may well determine (not necessarily should!) the special properties of transport processes of nanofluids. The mechanisms of transport processes in liquids still remain poorly understood. In any case, there is no such comprehensive theory as for a rarefied gas. Certainly, the presence of nanoparticles in the liquid only complicates the situation. Nevertheless, to get an idea of the transport processes in nanofluids it is necessary to analyze them consistently. The simplest transport process is the diffusion of nanoparticles. It is usually of little interest to researchers. For this reason, there is virtually no experimental study of it in the literature. However, nanoparticle diffusion is important in a number of applications. For example, it is an extremely important factor in various biomedical applications. Nanoparticle diffusion is an important element in the creation of new nanostructured materials. The lack of systematic experimental information has stimulated the study of nanoparticle diffusion using molecular dynamics (MD) method. This method is an important tool in studying all transport processes. Therefore, the present chapter provides necessary information on its basics. Since this book focuses on studying transport coefficients of nanofluids, the chapter commences with discussing fluctuation–dissipation theorems that determine these coefficients. Further, the chapter systematically discusses MD simulation of ordinary spherical nanoparticle diffusion and the force exerted on the nanoparticle in fluid. The final section presents experimental data on the diffusion of CNTs, obtained through DLS and MD methods, including both translational and rotational diffusion.