Laser pyrolysis is one of the most important and emerging techniques used to synthesize thin films, nano-powders and nano-structured materials. The advantages in this technique include: a well defined interaction volume, no interactions with the reactor chamber walls hence less impurities, and the attainment of very fine particles. In this paper we briefly review the development and the current status of laser pyrolysis world wide. However, the main focus is an overview of our efforts to synthesize vanadium and tungsten oxides using this technique since 2006. We discuss the role of the laser pyrolysis parameters: the beam waist, interaction volume, carrier gas flow rates, laser wavelength and power density on the phase, size and shape of the final products obtained.