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Low-temperature (<; 10 eV) plasmas with densities varying over a very wide range from 1013m-3 at the lower end to as high as 1023m-3 have firmly established themselves as one of the most efficient and versatile tools to create and process materials at nanoscale. The dense plasma focus (DPF) device, which is a noncylindrical Z-pinch facility that compresses the plasma to very high energy densities, offers a complex mix of high energy ions of the filling gas species, immensely hot and dense decaying plasma, fast-moving ionization wave front, and a strong shockwave that provides a unique plasma and a physical/chemical environment that is completely unheard of in any other conventional plasma-based deposition or processing facility. This review aims to highlight the novel features offered by pulsed high-energy-density pinch plasmas from a DPF, having temperatures and densities a few orders of magnitudes higher than conventional low-temperature plasmas, in the processing and the synthesis of materials at nanoscale. The nanoscale fabrication using the DPF device is elaborated and discussed in two broad categories: 1) top-down nanoscale fabrication by processing of bulk or thin-film target materials that are placed downstream the anode axis by the energetic transient flux of energetic ions, the hot decaying plasma, the fast ionization wave front, and the shock front; and 2) bottom-up nanoscale fabrication by deposition of nanostructured thin films of metals and/or their nitrides, carbides, and oxides by ablating the metal fitted on to the anode top under suitable reactive or inert background plasma.