A commonly used approach is the self-assembly of surface-functionalized nanocrystals (NCs) into ordered supercrystalline (SC) structures, which allows to precisely control, both, their nano-features and their potential interfacial coupling. Nevertheless, the exposure to numerous thermal, chemical, and mechanical stimuli during service demands a robust architecture. Therefore, the typically low structural integrity and the small spatial dimensions of these supercrystalline materials are still limiting factors for their final usability. One important example are superparamagnetic assemblies of iron oxide NCs, which have already been successfully implemented in micro-scale biomedical applications. This application is, though, so far not achieved for bulk, macroscale materials with superparamagnetic or ultra-soft magnetic behavior. These are indeed materials of significant interest for e.g. transformer cores, magnetic refrigeration, or magnetic actuation in micro-robotic applications, especially when combined with properties such as high electric resistivity and a low density. But, in fact, exploiting these nano-characteristic features at larger scales still supposes a challenge. The combination of robustness, size, and nano-functional properties becomes thus a crucial factor for promoting nanomaterials into the next stage of the material's development life cycle. For composite structures with a large surface-to-volume ratio, the cohesion of their constituents is mainly determined by the interfaces, which often is, however, a neglected design parameter. Creating strong connections between single NCs has therefore started to gain increasing attention and, as such, remarkable steps forward have been made by connecting polymer-grafted NCs via hydrogen-bonding, metal coordination, or crosslinkable chemical moieties. However, the large molecular weights of the surface grafted polymers result in a high content of soft organic phases in the final bulk materials, limiting their overall mechanical properties to values in the range of neat polymers (typical elastic moduli below 2 GPa).