- We show that four-dimensional N=2 ungauged Einstein-Maxwell supergravity can be embedded on the Randall-Sundrum 3-brane, as a consistent Kaluza-Klein reduction of five-dimensional N=4 gauged supergravity. In particular, this allows us to describe four-dimensional Reissner-Nordstrm black holes within the Randall-Sundrum scenario. Using earlier results on the embedding of five-dimensional N=4 gauged supergravity in ten dimensions, we can then describe the four-dimensional Einstein-Maxwell supergravity on the 3-brane, and its solutions, from a type IIB viewpoint. We also show that the minimal ungauged supergravities in D=5 and D=6 can be consistently embedded in the half-maximally supersymmetric gauged supergravities in D=6 and D=7, respectively. These allow us to construct solutions including BPS black holes and strings living in "Randall-Sundrum 4-branes", and BPS self-dual strings living in "Randall-Sundrum 5-branes". We can also lift the embeddings to ten-dimensional massive type IIA and D=11 supergravity respectively. In particular, we obtain a solution describing the self-dual string living in the world-volume of an M5-brane, which can be viewed as an open membrane ending on the M5-brane.