The combination of two self-assembly processes on different length scales leads to the formation of hierarchically structured nanoparticle arrays. Here, the formation of spherical cavities, or 'breath figures'-made by the condensation of micrometre-sized water droplets on the surface of a polymer solution-that self-assemble into a well-ordered hexagonal array, is combined with the self-assembly of CdSe nanoparticles at the polymer solution-water droplet interface. Complete evaporation of the solvent and water confines the particle assembly to an array of spherical cavities and allows for ex situ investigation. Fluorescence confocal, transmission electron and scanning electron microscope images show the preferential segregation of the CdSe nanoparticles to the polymer solution-water interface where they form a 5-7-nm-thick layer, thus functionalizing the walls of the holes. This process opens a new route to fabricating highly functionalized ordered microarrays of nanoparticles, potentially useful in sensory, separation membrane or catalytic applications.