Helical structures widely exist in both artificial and biological materials (e.g., tendon and muscle). In this paper, a bottom-up theoretical model is established to investigate the mechanical properties of nanomaterials with hierarchical helical structures. The geometry of a rope with a hierarchy of chirality is first formulated. On the basis of the analysis of the internal forces and deformations of a single helical ply, a theoretical model is provided to predict the mechanical responses of multi-level helical materials. The effect of hierarchical helical structures is revealed by comparing the properties between a rope with two-level helical structure and its counterpart bundle consisting of straight filaments. The dependence of the mechanical properties of materials on the initial helical angles and handednesses at different structural levels are examined. Hierarchical helical structures are found to have higher deformation ability and elastic property easily tuned via their microstructural parameters. This work helps understand the behavior of chiral biological materials and also provides inspirations for optimal design of advanced nanomaterials with hierarchical helical structures.