While self-assembly is a broad topic even within the field of functional materials, this review is particularly focused on the self-assembly of nanostructures (primarily nanoparticles of different shapes and sizes) and their applications. The existing reviews on this topic have dealt with the advances in specific self-assembly procedures. This review covers self-assembly of colloidal nanoparticles in general to broadly categorize two main classes of self-assembled structures: clusters and films. The synthesis/fabrication procedures of these two classes are discussed in different sub-sections categorized based on the primary driving mechanism of the assembly method. This review particularly focuses on the applications of self-assembled structures in different fields as well as the outlook on developing trends.