Colloidal molecules constructed from polymers and nanoparticles (NPs) have recently emerged as a novel class of building blocks for assembling functional hybrid materials. Particularly, self-assembly of amphiphilic block copolymer (BCP)-tethered NPs (BNPs) has shown great promise in the nanoscale design of functional hybrid materials. On the one hand, structurally the BNPs can be considered as molecular equivalents that are capable of self-assembly at multiple hierarchical levels. On the other hand, the assembly of BNPs shows significant differences from molecular assembly due to their large dimension, complex geometry, and multiscale interactions involved in the assembly process. The manipulation of BCPs localized near the surface of the NPs offers an effective tool for engineering the interactions between NPs and hence the complexity of NP assembly. In this Feature Article, recent progresses on the self-assembly of BNPs into functional materials are summarized. First, major strategies for assembling amphiphilic BNPs are highlighted. Secondly, the application of hybrid nanostructures (e.g., vesicles) assembled from BNPs in the field of biomedical imaging and delivery is discussed. Finally, current challenges and perspectives at this frontier are outlined.