Over the past half century, a variety of computational fluid dynamics (CFD) methods and the direct simulation Monte Carlo (DSMC) method have been widely and successfully applied to the simulation of gas flows for the continuum and rarefied regime, respectively. However, they both encounter difficulties when dealing with multiscale gas flows in modern engineering problems, where the whole system is on the macroscopic scale but the nonequilibrium effects play an important role. In this paper, we review two particle-based strategies developed for the simulation of multiscale nonequilibrium gas flows, i.e., DSMC-CFD hybrid methods and multiscale particle methods. The principles, advantages, disadvantages, and applications for each method are described. The latest progress in the modelling of multiscale gas flows including the unified multiscale particle method proposed by the authors is presented.