We develop a general method to calculate Zeeman splittings of electrons and holes in semiconductor nanostructures within the tight-binding framework. The calculation is carried out in the electron-hole picture and is extensible to the excitonic calculation by including the electron-hole Coulomb interaction. The method is suitable for the investigation of quantum shape effects and the anisotropy of the g-factors. Numerical results for CdSe and CdTe nanostructures are presented.