Mechanically bonded macromolecules constitute a class of challenging synthetic targets in polymer science. The controllable intramolecular motions of mechanical bonds, in combination with the processability and useful physical and mechanical properties of macromolecules, ultimately ensure their potential for applications in materials science, nanotechnology and medicine. This tutorial review describes the syntheses and properties of a library of diverse mechanically bonded macromolecules, which covers (i) main-chain, side-chain, bridged, and pendant oligo/polycatenanes, (ii) main-chain oligo/polyrotaxanes, (iii) poly[c2]daisy chains, and finally (iv) mechanically interlocked dendrimers. A variety of highly efficient synthetic protocols--including template-directed assembly, step-growth polymerisation, quantitative conjugation, etc.--were employed in the construction of these mechanically interlocked architectures. Some of these structures, i.e., side-chain polycatenanes and poly[c2]daisy chains, undergo controllable molecular switching in a manner similar to their small molecular counterparts. The challenges posed by the syntheses of polycatenanes and polyrotaxanes with high molecular weights are contemplated.