The ability to generate complex optical photon states involving entanglement between multiple optical modes is not only critical to advancing our understanding of quantum mechanics but will play a key role in generating many applications in quantum technologies. These include quantum communications, computation, imaging, microscopy and many other novel technologies that are constantly being proposed. However, approaches to generating parallel multiple, customisable bi- and multi-entangled quantum bits (qubits) on a chip are still in the early stages of development. Here, we review recent advances in the realisation of integrated sources of photonic quantum states, focusing on approaches based on nonlinear optics that are compatible with contemporary optical fibre telecommunications and quantum memory platforms as well as with chip-scale semiconductor technology. These new and exciting platforms hold the promise of compact, low-cost, scalable and practical implementations of sources for the generation and manipulation of complex quantum optical states on a chip, which will play a major role in bringing quantum technologies out of the laboratory and into the real world.