Nanostructures composed of oxides represent an interesting physical test ground for the combined structural and electronic response to external stimuli which holds substantial promise to become relevant for future nanoelectronics applications. We look at the ferromagnetic metals SrRuO3 (SRO) and (La0.7Sr0.3)MnO3 (LSMO) as well as insulating SrTiO3 and the ferroelectric Pb(Zr0.2 Ti0.8)O3 (PZT) or (Ba0.7 Sr0.3)TiO3 (BST). Ultrafast X-ray diffraction experiments (UXRD) at synchrotrons and laser-driven plasma sources are presented and analyzed to yield information on the propagation of both coherent phonons (strain waves) and incoherent phonons (heat). Few examples are used to discuss the information content of UXRD in the context. Beyond common transient strain phenomena we report on ultrafast magnetostriction in SRO and the time dependence of the negative thermal expansion in PZT.