Cellulose nanomaterials (CNMs) naturally exist in plant biomass. The success of extraction of CNMs opened up a new era of using plant biomass for innovative industrial applications. Because CNMs are abundant, renewable, biodegradable, transparent, light weight and low in cost, they are ideal materials for large volume applications such as packaging, automotive, building and infrastructure. In many potential application areas, CNM-enabled products appear in a composite form, mostly polymer composites. The industrial-scale manufacturing of CNM/thermoplastic composites remains as a set of unsolved problems for academia and industry. A prime challenge in applications is the nanoscale dispersion of CNMs in thermoplastic matrices during melt processing. Both bench-scale and pilot-scale studies have been conducted to solve the dispersion issue of CNMs. In this article, research related to the dispersion of CNMs in thermoplastic matrices during melt processing were critically reviewed. All research papers were classified into three groups: chemically-aided dispersion, physically-aided dispersion and mechanically-aided dispersion. Numerous factors affect the CNM dispersion and the mechanical performance of its nanocomposites. There are material-related factors, including CNM types and forms, polymer matrices, surface modification, coupling agents, etc. Extrusion processing parameters also play a significant role, covering screw rotation speed, extrusion barrel temperature settings and screw design. In addition, the material-related factors interact with the processing-related factors. Understanding all factors and their interactions are important for moving CNM nanocomposites research a step further towards industrial-relevant production, which is the final ambitious goal of this manuscript.