Various examples related to fabrication of thermally stable ultra-high density particle-in-cavity (PIC) nanostructures. In one example, a method includes disposing an anodized aluminum oxide (AAO) template onto a surface of a substrate; removing, from the AAO template, a support layer disposed on a side of the AAO template opposite the surface of the substrate; etching nanocavities into the surface of the substrate using the AAO template as an etch mask; and removing the AAO template from the surface of the substrate. The method can include fabricating the AAO template on an aluminum substrate by anodization of an aluminum film and removing the AAO template from the aluminum substrate after formation of the support layer on the AAO template.