Self-assemblies are complex structures spontaneously organized from simpler subcomponents, primarily through noncovalent interactions. These structures are being exploited as delivery vehicles of therapeutic and imaging agents. They have two unique advantages in comparison to other vehicles: 1) they are able to assume complex structures that are difficult to attain by chemical synthesis, and 2) the dissociation of self-assembled structures can be triggered by external stimuli, which can serve as a mechanism of payload release. In this review, we discuss two naturally occurring (proteins and viral capsids) and five engineered self-assemblies (vesicles, micelles, proteins, hydrogels, and inclusion complexes) that are under development for delivery of drugs and imaging agents. For each class of self-assembled supramolecular structures, we examine its structural and physicochemical properties, and potential applications within the context of assembly, loading, and payload release.